Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 – May 2, 1991: Lecture Notes in Control and Information Sciences, cartea 177
Editat de Ioannis Karatzas, Daniel Oconeen Limba Engleză Paperback – 27 mai 1992
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Specificații
ISBN-13: 9783540552963
ISBN-10: 3540552960
Pagini: 328
Ilustrații: X, 315 p.
Dimensiuni: 170 x 244 x 17 mm
Greutate: 0.52 kg
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Control and Information Sciences
Locul publicării:Berlin, Heidelberg, Germany
ISBN-10: 3540552960
Pagini: 328
Ilustrații: X, 315 p.
Dimensiuni: 170 x 244 x 17 mm
Greutate: 0.52 kg
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Control and Information Sciences
Locul publicării:Berlin, Heidelberg, Germany
Public țintă
ResearchCuprins
Estimates of cycle times in stochastic petri nets.- On Bellman equations of ergodic control in R n .- Some results on the filtering Riccati equation with random parameters.- Multi-dimensional finite-fuel singular stochastic control.- Numerical methods in ergodic optimal stochastic control and application.- Exponential triangular cooling schedules for simulated annealing algorithms : A case study.- A numerical method for a calculus of variations problem with discontinuous integrand.- Piecewise monotone filtering with small observation noise: Numerical simulations.- Particle approximation for first order stochastic partial differential equations.- An infinite-dimensional LP solution to control of a continuous, monotone process.- An optimal control depending on the conditional density of the unobserved state.- Partially observed control of Markov processes.- Numerical approximation for nonlinear filtering and finite-time observers.- A numerical method for stochastic singular control problems with nonadditive controls.- Averaging for martingale problems and stochastic approximation.- A nonlinear filter with two time scales.- Bounds for the price of options.- Brownian and diffusion decision processes.- Kantorovich's functionals in space of measures.- Partially parallel simulated annealing: Low and high temperature approach of the invariante measure.- Martingale representation for a class of processes with independent increments and its applications.