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Modern Trends in Controlled Stochastic Processes
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Artikel-Nr:
9781905986309
Veröffentl:
2010
Erscheinungsdatum:
01.09.2010
Seiten:
344
Autor:
Alexey B. Piunovskiy
Gewicht:
658 g
Format:
234x156x21 mm
Sprache:
Englisch
Beschreibung:
World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.