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Stochastic processes, optimization, and control theory : applications in financial engineering, queueing networks and manufacturing systems : a volume in honor of Suresh Sethi

Author: Houmin Yan; George Yin; Qing Zhang
Publisher: New York : Springer, ©2006.
Series: International series in operations research & management science, 94.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Publication:Springer e-books
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Stochastic processes, optimization, and control theory.
New York : Springer, ©2006
(DLC) 2006924379
(OCoLC)70171531
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Houmin Yan; George Yin; Qing Zhang
ISBN: 9780387338156 0387338152 0387337709 9780387337708
OCLC Number: 209924554
Description: 1 online resource (xlvi, 360 pages) : illustrations.
Contents: Preface --
S.P. Sethi's curriculum vitae --
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 present 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 --
Index.
Series Title: International series in operations research & management science, 94.
Responsibility: Houmin Yan, George Yin, and Qing Zhang, editors.
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Abstract:

It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate  Read more...

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