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Stochastic Differential Systems, Stochastic Control Theory and Applications

Proceedings of a Workshop, held at IMA, June 9-19, 1986

  • Conference proceedings
  • © 1988

Overview

Editors:
  1. Wendell Fleming

    1. Division of Applied Mathematics, Brown University, Providence, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Pierre-Louis Lions

    1. Ceremade, Universite Paris-Dauphine, Paris Cedex 16, France

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: The IMA Volumes in Mathematics and its Applications (IMA, volume 10)

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Table of contents (34 papers)

  1. Front Matter

    Pages i-xiii
    Download chapter PDF

  2. Optimality of “full bang to reduce predicted miss” for some partially observed stochastic control problems

    • V. E. Beneš, R. W. Rishel
    Pages 1-15

  3. On Some Approximation Techniques in Non Linear Filtering

    • A. Bensoussan
    Pages 17-31

  4. Applications of Homogenization Theory to the Control of Flexible Structures

    • Gilmer L. Blankenship
    Pages 33-55

  5. Control of Markov Chains with Long-Run Average Cost Criterion

    • Vivek S. Borkar
    Pages 57-77

  6. Automatic Study in Stochastic Control

    • J. P. Chancelier, C. Gomez, J. P. Quadrat, A. Sulem
    Pages 79-86

  7. Some Results on Kolmogoroff Equations for Infinite Dimensional Stochastic Systems

    • G. Da Prato
    Pages 87-97

  8. Hamilton-Jacobi Equations with Constraints

    • I. Capuzzo-Dolcetta
    Pages 99-106

  9. An Approximate Minimum Principle for a Partially Observed Markov Chain

    • Robert J. Elliott
    Pages 107-117

  10. Generalized Solutions in the Optimal Control of Diffusions

    • Wendell H. Fleming, Domokos Vermes
    Pages 119-127

  11. Consistency of Maximum Likelihood and Pseudo-Likelihood Estimators for Gibbs Distributions

    • B. Gidas
    Pages 129-145

  12. Brownian Models of Queueing Networks with Heterogeneous Customer Populations

    • J. Michael Harrison
    Pages 147-186

  13. Non-Linear Filtering — The Degenerate Case

    • U. G. Haussmann
    Pages 187-203

  14. The Asymptotic Behaviour of the Maximum Likelihood Estimates for a Class of Diffusion Processes

    • Kurt Helmes
    Pages 205-213

  15. The Filtering Problem for Infinite Dimensional Stochastic Processes

    • G. Kallianpur, R. L. Karandika
    Pages 215-223

  16. Stochastic Control Under Finite-Fuel Constraints

    • Ioannis Karatzas
    Pages 225-240

  17. Recent Advances in the Theory of Stochastic Adaptive Control

    • P. R. Kumar
    Pages 241-254

  18. Almost Optimal Controls for Wideband Noise Driven Systems

    • Harold J. Kushner
    Pages 255-273

  19. Asymptotic Solutions of Bandit Problems

    • T. L. Lai
    Pages 275-292

  20. Viscosity Solutions of Second-Order Equations, Stochastic Control and Stochastic Differential Games

    • P.-L. Lions, P. E. Souganidis
    Pages 293-309
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About this book

This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS. We are grateful to the Scientific Committee: Daniel Stroock (Chairman) WendeIl Flerning Theodore Harris Pierre-Louis Lions Steven Orey George Papanicolaou for planning and implementing an exciting and stimulating year-long program. We es­ pecially thank WendeIl Fleming and Pierre-Louis Lions for organizing an interesting and productive workshop in an area in which mathematics is beginning to make significant contributions to real-world problems. George R. Seil Hans Weinberger PREFACE This volume is the Proceedings of a Workshop on Stochastic Differential Systems, Stochastic Control Theory, and Applications held at IMA June 9-19,1986. The Workshop Program Commit­ tee consisted of W.H. Fleming and P.-L. Lions (co-chairmen), J. Baras, B. Hajek, J.M. Harrison, and H. Sussmann. The Workshop emphasized topics in the following four areas. (1) Mathematical theory of stochastic differential systems, stochastic control and nonlinear filtering for Markov diffusion processes. Connections with partial differential equations. (2) Applications of stochastic differential system theory, in engineering and management sci­ ence. Adaptive control of Markov processes. Advanced computational methods in stochas­ tic control and nonlinear filtering. (3) Stochastic scheduling, queueing networks, and related topics. Flow control, multiarm bandit problems, applications to problems of computer networks and scheduling of complex manufacturing operations.

Editors and Affiliations

  • Division of Applied Mathematics, Brown University, Providence, USA

    Wendell Fleming

  • Ceremade, Universite Paris-Dauphine, Paris Cedex 16, France

    Pierre-Louis Lions

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