Download or read book Optimal Stopping Rules written by Alʹbert Nikolaevich Shiri︠a︡ev and published by Springer. This book was released on 1978 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Great Expectations written by Yuan Shih Chow and published by . This book was released on 1971 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Stopping and Free Boundary Problems written by Goran Peskir and published by Springer Science & Business Media. This book was released on 2006-11-10 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discloses a fascinating connection between optimal stopping problems in probability and free-boundary problems. It focuses on key examples and the theory of optimal stopping is exposed at its basic principles in discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from change of time, space, and measure, to more recent ones such as local time-space calculus and nonlinear integral equations. A chapter on stochastic processes makes the material more accessible. The book will appeal to those wishing to master stochastic calculus via fundamental examples. Areas of application include financial mathematics, financial engineering, and mathematical statistics.
Download or read book The Theory of Optimal Stopping written by Yuan Shih Chow and published by Dover Publications. This book was released on 1991-01 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Game Theory Optimal Stopping Probability and Statistics written by Thomas Shelburne Ferguson and published by IMS. This book was released on 2000 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Irreversible Decisions under Uncertainty written by Svetlana Boyarchenko and published by Springer Science & Business Media. This book was released on 2007-08-26 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.
Download or read book Algorithms to Live By written by Brian Christian and published by Macmillan. This book was released on 2016-04-19 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Algorithms to Live By' looks at the simple, precise algorithms that computers use to solve the complex 'human' problems that we face, and discovers what they can tell us about the nature and origin of the mind.
Download or read book Advanced Simulation Based Methods for Optimal Stopping and Control written by Denis Belomestny and published by Springer. This book was released on 2018-01-31 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.
Download or read book Time Inconsistent Control Theory with Finance Applications written by Tomas Björk and published by Springer Nature. This book was released on 2021-11-02 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications. In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s current and future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences. Time-Inconsistent Control Theory with Finance Applications offers the first comprehensive treatment of time-inconsistent control and stopping problems, in both continuous and discrete time, and in the context of finance applications. Intended for researchers and graduate students in the fields of finance and economics, it includes a review of the standard time-consistent results, bibliographical notes, as well as detailed examples showcasing time inconsistency problems. For the reader unacquainted with standard arbitrage theory, an appendix provides a toolbox of material needed for the book.
Download or read book Sequential Stochastic Optimization written by R. Cairoli and published by John Wiley & Sons. This book was released on 2011-07-26 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sequential Stochastic Optimization provides mathematicians andapplied researchers with a well-developed framework in whichstochastic optimization problems can be formulated and solved.Offering much material that is either new or has never beforeappeared in book form, it lucidly presents a unified theory ofoptimal stopping and optimal sequential control of stochasticprocesses. This book has been carefully organized so that littleprior knowledge of the subject is assumed; its only prerequisitesare a standard graduate course in probability theory and somefamiliarity with discrete-parameter martingales. Major topics covered in Sequential Stochastic Optimization include: * Fundamental notions, such as essential supremum, stopping points,accessibility, martingales and supermartingales indexed by INd * Conditions which ensure the integrability of certain suprema ofpartial sums of arrays of independent random variables * The general theory of optimal stopping for processes indexed byInd * Structural properties of information flows * Sequential sampling and the theory of optimal sequential control * Multi-armed bandits, Markov chains and optimal switching betweenrandom walks
Download or read book Optimal Control Theory written by Donald E. Kirk and published by Courier Corporation. This book was released on 2012-04-26 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: Upper-level undergraduate text introduces aspects of optimal control theory: dynamic programming, Pontryagin's minimum principle, and numerical techniques for trajectory optimization. Numerous figures, tables. Solution guide available upon request. 1970 edition.
Download or read book Things to Make and Do in the Fourth Dimension written by Matt Parker and published by Farrar, Straus and Giroux. This book was released on 2014-12-02 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book from the stand-up mathematician that makes math fun again! Math is boring, says the mathematician and comedian Matt Parker. Part of the problem may be the way the subject is taught, but it's also true that we all, to a greater or lesser extent, find math difficult and counterintuitive. This counterintuitiveness is actually part of the point, argues Parker: the extraordinary thing about math is that it allows us to access logic and ideas beyond what our brains can instinctively do—through its logical tools we are able to reach beyond our innate abilities and grasp more and more abstract concepts. In the absorbing and exhilarating Things to Make and Do in the Fourth Dimension, Parker sets out to convince his readers to revisit the very math that put them off the subject as fourteen-year-olds. Starting with the foundations of math familiar from school (numbers, geometry, and algebra), he reveals how it is possible to climb all the way up to the topology and to four-dimensional shapes, and from there to infinity—and slightly beyond. Both playful and sophisticated, Things to Make and Do in the Fourth Dimension is filled with captivating games and puzzles, a buffet of optional hands-on activities that entices us to take pleasure in math that is normally only available to those studying at a university level. Things to Make and Do in the Fourth Dimension invites us to re-learn much of what we missed in school and, this time, to be utterly enthralled by it.
Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by OUP Oxford. This book was released on 2009-08-06 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Download or read book Controlled Diffusion Processes written by N. V. Krylov and published by Springer Science & Business Media. This book was released on 2008-09-26 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
Download or read book The Mathematics of Love written by Hannah Fry and published by Simon and Schuster. This book was released on 2015-02-03 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uses math as a tool for explaining the complicated patterns of love, tackling such common questions as the chance of finding love that will last, how online dating works, and when to compromise.
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 Stochastic Control Theory written by Makiko Nisio and published by Springer. This book was released on 2014-11-27 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations. Concerning partially observable control problems, we refer to stochastic parabolic equations driven by colored Wiener noises, in particular, the Zakai equation. The existence and uniqueness of solutions and regularities as well as Itô's formula are stated. A control problem for the Zakai equations has a nonlinear semigroup whose generator provides the HJB equation on a Banach space. The value function turns out to be a unique viscosity solution for the HJB equation under mild conditions. This edition provides a more generalized treatment of the topic than does the earlier book Lectures on Stochastic Control Theory (ISI Lecture Notes 9), where time-homogeneous cases are dealt with. Here, for finite time-horizon control problems, DPP was formulated as a one-parameter nonlinear semigroup, whose generator provides the HJB equation, by using a time-discretization method. The semigroup corresponds to the value function and is characterized as the envelope of Markovian transition semigroups of responses for constant control processes. Besides finite time-horizon controls, the book discusses control-stopping problems in the same frameworks.
