Applied Stochastic Analysis
Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991
Published on 27. May 1992
Book
Paperback/Softback
X, 315 pages
978-3-540-55296-3 (ISBN)
Description
This volume contains papers presented during a four-day
Workshop that took place at Rutgers University from 29 April
to 2 May, 1991. The purpose of this workshop was to promote
interaction among specialists in these areas byproviding
for all an up-to-date picture of current issues and
outstanding problems.
The topics covered include singular stochasticcontrol,
queuing networks, the mathematical theory of stochastic
optimization and filtering, adaptive control and the
estimation for random fields and its connections with
simulated annealing, statistical mechanics, and
combinatorial optimization.
More details
Series
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Illustrations
X, 315 p.
Dimensions
Height: 244 mm
Width: 170 mm
Thickness: 18 mm
Weight
568 gr
ISBN-13
978-3-540-55296-3 (9783540552963)
DOI
10.1007/BFb0007043
Schweitzer Classification
Content
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.