Download or read book Partial Differential Equations with Gradient Constraints Arising in the Optimal Control of Singular Stochastic Processes written by Ryan Hynd and published by . This book was released on 2010 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a study of second order, elliptic partial differential equations (PDE) that subject solutions to pointwise gradient constraints. These equations fall into the broad class of scalar non-linear PDE, and therefore, we interpret solutions in the viscosity sense and use methods from the theory of viscosity solutions. These equations are also naturally associated to free boundary problems as the boundary of the region where the gradient constraint is strictly satisfied cannot, in general, be determined before a solution of the PDE has been obtained. Consequently, we also employ techniques from PDE theory developed for free boundary problems. In addition, we identify connections with control theory. Each solution of the PDE we consider has a probabilistic interpretation as an optimal value of a stochastic control problem. A distinguishing feature of these optimization problems is that the controlled processes have sample paths of bounded variation and thus may be ̀̀singular" with respect to Lebesgue measure on the real line. The theory of stochastic singular control has been used to model spacecraft control, queueing systems, and financial markets in the presence of transaction costs. Our work makes considerable progress at rigorously interpreting the PDE that arise in these applications.
Download or read book Stochastic Partial Differential Equations Second Edition written by Pao-Liu Chow and published by CRC Press. This book was released on 2014-12-10 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore Theory and Techniques to Solve Physical, Biological, and Financial Problems Since the first edition was published, there has been a surge of interest in stochastic partial differential equations (PDEs) driven by the Lévy type of noise. Stochastic Partial Differential Equations, Second Edition incorporates these recent developments and improves the presentation of material. New to the Second Edition Two sections on the Lévy type of stochastic integrals and the related stochastic differential equations in finite dimensions Discussions of Poisson random fields and related stochastic integrals, the solution of a stochastic heat equation with Poisson noise, and mild solutions to linear and nonlinear parabolic equations with Poisson noises Two sections on linear and semilinear wave equations driven by the Poisson type of noises Treatment of the Poisson stochastic integral in a Hilbert space and mild solutions of stochastic evolutions with Poisson noises Revised proofs and new theorems, such as explosive solutions of stochastic reaction diffusion equations Additional applications of stochastic PDEs to population biology and finance Updated section on parabolic equations and related elliptic problems in Gauss–Sobolev spaces The book covers basic theory as well as computational and analytical techniques to solve physical, biological, and financial problems. It first presents classical concrete problems before proceeding to a unified theory of stochastic evolution equations and describing applications, such as turbulence in fluid dynamics, a spatial population growth model in a random environment, and a stochastic model in bond market theory. The author also explores the connection of stochastic PDEs to infinite-dimensional stochastic analysis.
Download or read book Stochastic Partial Differential Equations and Applications written by Giuseppe Da Prato and published by CRC Press. This book was released on 2002-04-05 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the proceedings of the International Conference on Stochastic Partial Differential Equations and Applications-V held in Trento, Italy, this illuminating reference presents applications in filtering theory, stochastic quantization, quantum probability, and mathematical finance and identifies paths for future research in the field. Stochastic Partial Differential Equations and Applications analyzes recent developments in the study of quantum random fields, control theory, white noise, and fluid dynamics. It presents precise conditions for nontrivial and well-defined scattering, new Gaussian noise terms, models depicting the asymptotic behavior of evolution equations, and solutions to filtering dilemmas in signal processing. With contributions from more than 40 leading experts in the field, Stochastic Partial Differential Equations and Applications is an excellent resource for pure and applied mathematicians; numerical analysts; mathematical physicists; geometers; economists; probabilists; computer scientists; control, electrical, and electronics engineers; and upper-level undergraduate and graduate students in these disciplines.
Download or read book A Minicourse on Stochastic Partial Differential Equations written by Robert C. Dalang and published by Springer Science & Business Media. This book was released on 2009 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title contains lectures that offer an introduction to modern topics in stochastic partial differential equations and bring together experts whose research is centered on the interface between Gaussian analysis, stochastic analysis, and stochastic PDEs.
Download or read book Analysis and Finite Element Approximations of Stochastic Optimal Control Problems Constrained by Stochastic Elliptic Partial Differential Equations written by Jangwoon Lee and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Control of Stochastic Partial Differential Equations in Branch Spaces written by Rafael Antonio Serrano Perdomo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Optimal Control of Stochastic Partial Differential Equations in Banach Spaces written by and published by . This book was released on 2010 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Calculus of Variations and Optimal Control Theory written by Daniel Liberzon and published by Princeton University Press. This book was released on 2012 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a concise yet rigorous introduction to calculus of variations and optimal control theory, and is a self-contained resource for graduate students in engineering, applied mathematics, and related subjects. Designed specifically for a one-semester course, the book begins with calculus of variations, preparing the ground for optimal control. It then gives a complete proof of the maximum principle and covers key topics such as the Hamilton-Jacobi-Bellman theory of dynamic programming and linear-quadratic optimal control. Calculus of Variations and Optimal Control Theory also traces the historical development of the subject and features numerous exercises, notes and references at the end of each chapter, and suggestions for further study. Offers a concise yet rigorous introduction Requires limited background in control theory or advanced mathematics Provides a complete proof of the maximum principle Uses consistent notation in the exposition of classical and modern topics Traces the historical development of the subject Solutions manual (available only to teachers) Leading universities that have adopted this book include: University of Illinois at Urbana-Champaign ECE 553: Optimum Control Systems Georgia Institute of Technology ECE 6553: Optimal Control and Optimization University of Pennsylvania ESE 680: Optimal Control Theory University of Notre Dame EE 60565: Optimal Control
Download or read book Applied Mechanics Reviews written by and published by . This book was released on 1973 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Stochastic Control Stochastic Target Problems and Backward SDE written by Nizar Touzi and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
Download or read book Sparse Grid Stochastic Collocation for Partial Differential Equations with Random Data as Constraint for Optimal Control Problems written by Maximilian Reihn and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Model Order Reduction Techniques for the Optimal Control of Parabolic Partial Differential Equations with Control and State Constraints written by Martin Gubisch and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Partial Differential Equations Arising in Self organized Criticality written by Marius Neuß and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Aerospace Abstracts written by and published by . This book was released on 1996 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lagrange Multiplier Approach to Variational Problems and Applications written by Kazufumi Ito and published by SIAM. This book was released on 2008-11-06 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyses Lagrange multiplier theory and demonstrates its impact on the development of numerical algorithms for variational problems in function spaces.
