Stochastic Processes, Optimization, And Control Theory

by Yan, Houmin; Yin, George; Zhang, Qing

• ISBN13: 9780387337708
• ISBN10: 0387337709
• Format: Hardcover
• Copyright: 2006-06-01
• Publisher: Springer Nature

Summary

This edited volume contains sixteen research articles and 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. It assembles experts from the fields of operations research, control theory and optimization, stochastic analysis, and financial engineering to review and substantially update the recent progress in these fields. Another distinct characteristic of the book is that all papers are motivated by applications in which optimization, control, and stochastics are inseparable. The book will be a timely addition to the literature and will be of interest to people working in the aforementioned fields. Most importantly, this volume is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday. In view of his fundamental contributions, his distinguished career, his substantial achievements, his influence on the areas of control theory and applications, operations research, and management science, and his dedication to the scientific community, a number of leading experts in the fields of optimization, control, and operation management, have contributed to this volume in honor of him.

Table of Contents

Preface	ix
S.P. Sethi's Curriculum Vitae	xi
1. TCP-AQM Interaction: Periodic Optimization via Linear Programming
K.E. AVRACHENKOV, L.D. FINLAY, AND V.G. GAITSGORY	1	(18)
2. Explicit Solutions of Linear Quadratic Differential Games
A. BENSOUSSAN	19	(16)
3. Extended Generators of Markov Processes and Applications
T.R. BIELECKI AND E. FRANKIEWICZ	35	(20)
4. Control of Manufacturing Systems with Delayed Inspection and Limited Capacity
E.K. BOUKAS	55	(18)
5. Admission Control in the Presence of Priorities: A Sample Path Approach
F. CHEN AND V.G. KULKARNI	73	(24)
6. Some Bilinear Stochastic Equations with a Fractional Brownian Motion
T.E. DUNCAN	97	(12)
7. Two Types of Risk
J.A. FILAR AND B. KANG	109	(32)
8. Optimal Production Policy in a Stochastic Manufacturing System
Y. GUO AND H. ZHANG	141	(18)
9. A Stochastic Control Approach to Optimal Climate Policies
A. HAURIE	159	(16)
10. Characterization of Just in Time Sequencing via Apportionment
J. JÓZEFOWSKA, L. JÓZEFOWSKI AND W. KUBIAK	175	(26)
11. Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion
B. PASIK-DUNCAN, T.E. DUNCAN, AND B. MASLOWSKI	201	(22)
12. Hedging Options with Transaction Costs
W. SUO	223	(26)
13. Supply Portfolio Selection and Execution with Demand Information Updates
H. WANG AND H. YAN	249	(32)
14. A Regime-Switching Model for European Options
D.D. YAO, Q. ZHANG, AND X.Y. ZHOU	281	(20)
15. Pricing American Put Options Using Stochastic Optimization Methods
G. YIN, J.W. WANG, Q. ZHANG, Y.J. LIU, AND R.H. LIU	301	(30)
16. Optimal Portfolio Application with Double-Uniform Jump Model
Z. ZHU AND F.B. HANSON	331	(28)
Index	359