Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

A Volume in Honor of Suresh Sethi

Houmin Yan, G. George Yin, Qing Zhang (Herausgeber)

Buch | Softcover

360 Seiten

2010 | 1st ed. Softcover of orig. ed. 2006
Springer-Verlag New York Inc.
9781441941480 (ISBN)

Artikel merken

This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

TCP-AQM Interaction: Periodic Optimization via Linear Programming.- Explicit Solutions of Linear Quadratic Differential Games.- Extended Generators of Markov Processes and Applications.- Control of Manufacturing Systems with Delayed Inspection and Limited Capacity.- Admission Control in the Presence of Priorities: A Sample Path Approach.- Some Bilinear Stochastic Equations with a Fractional Brownian Motion.- Two Types of Risk.- Optimal Production Policy in a Stochastic Manufacturing System.- A Stochastic Control Approach to Optimal Climate Policies.- Characterization of Just in Time Sequencing via Apportionment.- Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion.- Hedging Options with Transaction Costs.- Supply Portfolio Selection and Execution with Demand Information Updates.- A Regime-Switching Model for European Options.- Pricing American Put Options Using Stochastic Optimization Methods.- Optimal Portfolio Application with Double-Uniform Jump Model.

Erscheint lt. Verlag	19.11.2010
Reihe/Serie	International Series in Operations Research Management Science ; 94
Zusatzinfo	36 Illustrations, black and white
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Informatik ► Theorie / Studium
	Technik ► Elektrotechnik / Energietechnik
	Technik ► Maschinenbau
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
ISBN-13	9781441941480 / 9781441941480
Zustand	Neuware