Title | Stochastic Analysis, Control, Optimization and Applications [electronic resource] : A Volume in Honor of W.H. Fleming / edited by William M. McEneaney, G. George Yin, Qing Zhang |
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Imprint | Boston, MA : Birkhรคuser Boston : Imprint: Birkhรคuser, 1999 |
Connect to | http://dx.doi.org/10.1007/978-1-4612-1784-8 |
Descript | XXXII, 637 p. online resource |
I. Large Deviations, Risk Sensitive And H?, Control -- 1. Representations for Functionals of Hilbert Space Valued Diffusions -- 2. Risk-Sensitive, Minimax, and Mixed Risk-Neutral/Minimax Control of Markov Decision Processes -- 3. Partially Observed Control Problems with Multiplicative Cost -- 4. Nonlinear Semigroups for Partially Observed Risk-Sensitive Control and Minimax Games -- 5. Nonlinear, Dissipative, Infinite Dimensional Systems -- 6. Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive Control -- 7. Game Approach to Risk Sensitive Control for Stochastic Evolution Systems -- 8. On the Solutions of the Equation Arising from the Singular Limit of Some Eigen Problems -- 9. Nonlinear H? Controller Design via Viscosity Supersolutions of the Isaacs Equation -- II. Partial Differential Equations and Viscosity Solutions -- 10. Singularities of Semiconcave Functions in Banach Spaces -- 11. Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach -- 12. Remarks on the Dirichlet Problem for Quasilinear Elliptic and Parabolic Equations -- 13. A Generalized Hamilton-Jacobi-Bellman Equation for Deterministic Optimal Control Problems -- 14. Regular Solutions of Stochastic Burgers Equation -- 15. Piecewise-Deterministic Processes and Viscosity Solutions -- 16. Mathematical Approaches to the Problem of Noise-Induced Exit -- 17. An Approximation Scheme for Evolutive Hamilton-Jacobi Equations -- 18. Homogenization of the Cauchy Problem for Hamilton-Jacobi Equations -- 19. The Critical Exponent for a Stochastic PDE to Hit Zero -- III. Stochastic Control, Filtering and Parameter Estimation -- 20. Robustness of Zakaiโs Equation via Feynman-Kac Representations -- 21. Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data -- 22. Solvable Infinite Time Horizon Stochastic Control Problems in Noncompact Symmetric Spaces -- 23. Exact Finite Dimensional Filters for Exponential Functionals of the State -- 24. A Lyapunov Theory of Nonlinear Observers -- 25. Existence of Optimal Controls for Variance Control -- 26. On Optimal Ergodic Control of Diffusions with Jumps -- 27. Markov Marginal Problems and Their Applications to Markov Optimal Control -- 28. Entropy Inequalities and Entropy Dynamics in Nonlinear Filtering of Diffusion Processes -- 29. Identification for Linear Stochastic Distributed Parameter Systems with Boundary/Point Control -- 30. Monte Carlo Estimation of Diffusion Distributions at Inter-sampling Times -- IV. Mathematical Finance and Other Applications -- 31. Option Pricing in a Market with Frictions -- 32. Pathwise Comparison of Arithmetic Brownian Motions and Log-normal Processes -- 33. Critical Power for Asymptotic Connectivity in Wireless Networks -- 34. Pricing Models with Transaction Fees -- 35. A Verification Theorem in General Equilibrium Model of Asset Prices -- 36. Optimal Portfolio Management with Partial Observations and Power Utility function -- 37. Hierarchical Production Controls for a Stochastic Manufacturing System with Long-Run Average Cost: Asymptotic Optimality