Stochastic Processes, Optimization, and Control Theory : Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems: A Volume
Overview
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 Presence 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.
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Details
- ISBN-13: 9781441941480
- ISBN-10: 1441941487
- Publisher: Springer
- Publish Date: November 2010
- Dimensions: 9.21 x 6.14 x 0.84 inches
- Shipping Weight: 1.26 pounds
- Page Count: 360
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