Stochastic Analysis Filtering And Stochastic Optimization
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Author |
: George Yin |
Publisher |
: Springer Nature |
Total Pages |
: 466 |
Release |
: 2022-04-22 |
ISBN-10 |
: 9783030985196 |
ISBN-13 |
: 3030985199 |
Rating |
: 4/5 (96 Downloads) |
Synopsis Stochastic Analysis, Filtering, and Stochastic Optimization by : George Yin
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Author |
: William M. McEneaney |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 660 |
Release |
: 2012-12-06 |
ISBN-10 |
: 9781461217848 |
ISBN-13 |
: 1461217849 |
Rating |
: 4/5 (48 Downloads) |
Synopsis Stochastic Analysis, Control, Optimization and Applications by : William M. McEneaney
In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
Author |
: Richard S. Bucy |
Publisher |
: American Mathematical Soc. |
Total Pages |
: 240 |
Release |
: 2005 |
ISBN-10 |
: 0821837826 |
ISBN-13 |
: 9780821837825 |
Rating |
: 4/5 (26 Downloads) |
Synopsis Filtering for Stochastic Processes with Applications to Guidance by : Richard S. Bucy
This second edition preserves the original text of 1968, with clarification and added references. From the Preface to the Second Edition: ``Since the First Edition of this book, numerous important results have appeared--in particular stochastic integrals with respect to martingales, random fields, Riccati equation theory and realization of nonlinear filters, to name a few. In Appendix D, an attempt is made to provide some of the references that the authors have found useful and tocomment on the relation of the cited references to the field ... [W]e hope that this new edition will have the effect of hastening the day when the nonlinear filter will enjoy the same popularity in applications as the linear filter does now.''
Author |
: Allanus Hak-Man Tsoi |
Publisher |
: World Scientific |
Total Pages |
: 274 |
Release |
: 2011 |
ISBN-10 |
: 9789814355704 |
ISBN-13 |
: 9814355704 |
Rating |
: 4/5 (04 Downloads) |
Synopsis Stochastic Analysis, Stochastic Systems, and Applications to Finance by : Allanus Hak-Man Tsoi
This book introduces some advanced topics in probability theories ? both pure and applied ? is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.
Author |
: Wendell Helms Fleming |
Publisher |
: Birkhauser |
Total Pages |
: 637 |
Release |
: 1999 |
ISBN-10 |
: 3764340789 |
ISBN-13 |
: 9783764340780 |
Rating |
: 4/5 (89 Downloads) |
Synopsis Stochastic Analysis, Control, Optimization, and Applications by : Wendell Helms Fleming
This is a survey of developments, results, and applications in stochastic analysis, control theory, optimization and applications. It should be a valuable resource for practitioners, researchers and professionals in applied mathematics, operations research and engineering.
Author |
: Alan Bain |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 395 |
Release |
: 2008-10-08 |
ISBN-10 |
: 9780387768960 |
ISBN-13 |
: 0387768963 |
Rating |
: 4/5 (60 Downloads) |
Synopsis Fundamentals of Stochastic Filtering by : Alan Bain
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
Author |
: Ramaprasad Bhar |
Publisher |
: World Scientific |
Total Pages |
: 354 |
Release |
: 2010 |
ISBN-10 |
: 9789814304856 |
ISBN-13 |
: 9814304859 |
Rating |
: 4/5 (56 Downloads) |
Synopsis Stochastic Filtering with Applications in Finance by : Ramaprasad Bhar
This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.
Author |
: Ioannis Karatzas |
Publisher |
: Springer |
Total Pages |
: 332 |
Release |
: 1992 |
ISBN-10 |
: UOM:39015028421207 |
ISBN-13 |
: |
Rating |
: 4/5 (07 Downloads) |
Synopsis Applied Stochastic Analysis by : Ioannis Karatzas
This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.
Author |
: Ioannis Karatzas |
Publisher |
: Springer |
Total Pages |
: 315 |
Release |
: 2014-03-12 |
ISBN-10 |
: 3662213907 |
ISBN-13 |
: 9783662213902 |
Rating |
: 4/5 (07 Downloads) |
Synopsis Applied Stochastic Analysis by : Ioannis Karatzas
This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.
Author |
: Jie Xiong |
Publisher |
: Oxford University Press |
Total Pages |
: 285 |
Release |
: 2008-04-17 |
ISBN-10 |
: 9780199219704 |
ISBN-13 |
: 0199219702 |
Rating |
: 4/5 (04 Downloads) |
Synopsis An Introduction to Stochastic Filtering Theory by : Jie Xiong
Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance.As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has been extensively studied to seek more effective numerical approximations of the optimal filter; the stability of the filter with "incorrect" initial state, as well as the long-term behavior of the optimal filter, has attracted the attention of many researchers; and although still in its infancy, the study of singular filteringmodels has yielded exciting results.In this text, Jie Xiong introduces the reader to the basics of Stochastic Filtering Theory before covering these key recent advances. The text is written in a style suitable for graduates in mathematics and engineering with a background in basic probability.