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Stochastic Analysis, Control, Optimization and Applications

A Volume in Honor of W.H. Fleming

  • William M. McEneaney
  • G. George Yin
  • Qing Zhang

Part of the Systems & Control: Foundations & Applications book series (SCFA)

Table of contents

  1. Front Matter
    Pages i-xxxii
  2. Large Deviations, Risk Sensitive and H ∞ Control

  3. Partial Differential Equations and Viscosity Solutions

    1. Front Matter
      Pages N2-N2
    2. Paolo Albano, Piermarco Cannarsa
      Pages 171-190
    3. Guy Barles, Elisabeth Rouy, Panagiotis E. Souganidis
      Pages 209-222
    4. Mark H. A. Davis, Mohammad Farid
      Pages 249-268
    5. Maurizio Falcone, Tiziana Giorgi
      Pages 289-303
    6. Carl Mueller, Etienne Pardoux
      Pages 325-338
  4. Stochastic Control, Filtering and Parameter Estimation

  5. Mathematical Finance and Other Applications

    1. Front Matter
      Pages N4-N4
    2. Alain Bensoussan, Hugues Julien
      Pages 521-540
    3. Piyush Gupta, P. R. Kumar
      Pages 547-566
    4. James E. Hodder, Thaleia Zariphopoulou
      Pages 567-584
    5. Chi-Fu Huang, Michael Taksar, Steven H. Zhu
      Pages 585-604

About this book

Introduction

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.

Keywords

Brownian motion Markov decision process Normal control control theory diffusion process filtering operation research optimal control optimization stochastics

Editors and affiliations

  • William M. McEneaney
    • 1
  • G. George Yin
    • 2
  • Qing Zhang
    • 3
  1. 1.Department of MathematicsNorth Carolina State UniversityRaleighUSA
  2. 2.Department of MathematicsWayne State UniversityDetroitUSA
  3. 3.Department of MathematicsUniversity of GeorgiaAthensUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4612-1784-8
  • Copyright Information Springer Science+Business Media New York 1999
  • Publisher Name Birkhäuser, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4612-7281-6
  • Online ISBN 978-1-4612-1784-8
  • Series Print ISSN 2324-9749
  • Series Online ISSN 2324-9757
  • Buy this book on publisher's site
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