Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems: A Volume

Book 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.

• Format: Paperback
• Language: English
• ISBN: 1441941487
• ISBN13: 9781441941480
• Release Date: November 2010
• Publisher: Springer
• Length: 360 Pages
• Weight: 1.26 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"