Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems
Springer-Verlag New York Inc.
9780387337708 (ISBN)
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.
| 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 | Technik ► Elektrotechnik / Energietechnik |
| Wirtschaft ► Betriebswirtschaft / Management | |
| ISBN-13 | 9780387337708 / 9780387337708 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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