Download or read book Recursive Integration and Optimal Stopping written by Tiong Wee Lim and published by . This book was released on 1998 with total page 262 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 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 Optimization and Optimal Control in Automotive Systems written by Harald Waschl and published by Springer. This book was released on 2014-03-20 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates the use of the optimization techniques that are becoming essential to meet the increasing stringency and variety of requirements for automotive systems. It shows the reader how to move away from earlier approaches, based on some degree of heuristics, to the use of more and more common systematic methods. Even systematic methods can be developed and applied in a large number of forms so the text collects contributions from across the theory, methods and real-world automotive applications of optimization. Greater fuel economy, significant reductions in permissible emissions, new drivability requirements and the generally increasing complexity of automotive systems are among the criteria that the contributing authors set themselves to meet. In many cases multiple and often conflicting requirements give rise to multi-objective constrained optimization problems which are also considered. Some of these problems fall into the domain of the traditional multi-disciplinary optimization applied to system, sub-system or component design parameters and is performed based on system models; others require applications of optimization directly to experimental systems to determine either optimal calibration or the optimal control trajectory/control law. Optimization and Optimal Control in Automotive Systems reflects the state-of-the-art in and promotes a comprehensive approach to optimization in automotive systems by addressing its different facets, by discussing basic methods and showing practical approaches and specific applications of optimization to design and control problems for automotive systems. The book will be of interest both to academic researchers, either studying optimization or who have links with the automotive industry and to industrially-based engineers and automotive designers.
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Download or read book Optimal Control Models in Finance written by Ping Chen and published by Springer Science & Business Media. This book was released on 2006-06-18 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reports initial efforts in providing some useful extensions in - nancial modeling; further work is necessary to complete the research agenda. The demonstrated extensions in this book in the computation and modeling of optimal control in finance have shown the need and potential for further areas of study in financial modeling. Potentials are in both the mathematical structure and computational aspects of dynamic optimization. There are needs for more organized and coordinated computational approaches. These ext- sions will make dynamic financial optimization models relatively more stable for applications to academic and practical exercises in the areas of financial optimization, forecasting, planning and optimal social choice. This book will be useful to graduate students and academics in finance, mathematical economics, operations research and computer science. Prof- sional practitioners in the above areas will find the book interesting and inf- mative. The authors thank Professor B.D. Craven for providing extensive guidance and assistance in undertaking this research. This work owes significantly to him, which will be evident throughout the whole book. The differential eq- tion solver “nqq” used in this book was first developed by Professor Craven. Editorial assistance provided by Matthew Clarke, Margarita Kumnick and Tom Lun is also highly appreciated. Ping Chen also wants to thank her parents for their constant support and love during the past four years.
Download or read book Applied and Computational Optimal Control written by Kok Lay Teo and published by Springer Nature. This book was released on 2021-05-24 with total page 581 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to furnish the reader with a rigorous and detailed exposition of the concept of control parametrization and time scaling transformation. It presents computational solution techniques for a special class of constrained optimal control problems as well as applications to some practical examples. The book may be considered an extension of the 1991 monograph A Unified Computational Approach Optimal Control Problems, by K.L. Teo, C.J. Goh, and K.H. Wong. This publication discusses the development of new theory and computational methods for solving various optimal control problems numerically and in a unified fashion. To keep the book accessible and uniform, it includes those results developed by the authors, their students, and their past and present collaborators. A brief review of methods that are not covered in this exposition, is also included. Knowledge gained from this book may inspire advancement of new techniques to solve complex problems that arise in the future. This book is intended as reference for researchers in mathematics, engineering, and other sciences, graduate students and practitioners who apply optimal control methods in their work. It may be appropriate reading material for a graduate level seminar or as a text for a course in optimal control.
Download or read book Integrated Vehicle Dynamics and Control written by Wuwei Chen and published by John Wiley & Sons. This book was released on 2016-05-31 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of integrated vehicle system dynamics exploring the fundamentals and new and emerging developments This book provides a comprehensive coverage of vehicle system dynamics and control, particularly in the area of integrated vehicle dynamics control. The book consists of two parts, (1) development of individual vehicle system dynamic model and control methodology; and (2) development of integrated vehicle dynamic model and control methodology. The first part focuses on investigating vehicle system dynamics and control according to the three directions of vehicle motions, including longitudinal, vertical, and lateral. Corresponding individual control systems, e.g. Anti-lock Brake System (ABS), Active Suspension, Electric Power Steering System (EPS), are introduced and developed respectively. Particular attention is paid in the second part of the book to develop integrated vehicle dynamic control system. Integrated vehicle dynamics control system is an advanced system that coordinates all the chassis control systems and components to improve the overall vehicle performance including safety, comfort, and economy. Integrated vehicle dynamics control has been an important research topic in the area of vehicle dynamics and control over the past two decades. The research topic on integrated vehicle dynamics control is investigated comprehensively and intensively in the book through both theoretical analysis and experimental study. In this part, two types of control architectures, i.e. centralized and multi-layer, have been developed and compared to demonstrate their advantages and disadvantages. Integrated vehicle dynamics control is a hot topic in automotive research; this is one of the few books to address both theory and practice of integrated systems Comprehensively explores the research area of integrated vehicle dynamics and control through both theoretical analysis and experimental study Addresses a full range of vehicle system topics including tyre dynamics, chassis systems, control architecture, 4 wheel steering system and design of control systems using Linear Matrix Inequality (LMI) Method
Download or read book Solving Free boundary Problems with Applications in Finance written by Kumar Muthuraman and published by Now Publishers Inc. This book was released on 2008 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Outlines and explains a recent computational method that solves free boundary problems by reducing them into a sequence of fixed boundary problems which are relatively easy to solve numerically.
Download or read book Perspectives on Operations Research written by Martin Morlock and published by Springer Science & Business Media. This book was released on 2007-10-31 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents state-of-the-art models, algorithms, and applications of quantitative methods in management and economics. The papers are clustered into four parts, focusing on optimization issues, applications of Operations Research in production and service management, applications of Operations Research in logistics, and interdisciplinary approaches.
Download or read book American Put Options written by Donna Salopek and published by CRC Press. This book was released on 1997-03-15 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: An American put option gives its owner the right to sell a share of stock at a given specified price on or before a given date. This book provides a detailed comparison of recent works on the American put option from both theoretical and computational approaches.
Download or read book Optimization and Related Topics written by Alexander M. Rubinov and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains, in part, a selection of papers presented at the sixth Australian Optimization Day Miniconference (Ballarat, 16 July 1999), and the Special Sessions on Nonlinear Dynamics and Optimization and Operations Re search - Methods and Applications, which were held in Melbourne, July 11-15 1999 as a part of the Joint Meeting of the American Mathematical Society and Australian Mathematical Society. The editors have strived to present both con tributed papers and survey style papers as a more interesting mix for readers. Some participants from the meetings mentioned above have responded to this approach by preparing survey and 'semi-survey' papers, based on presented lectures. Contributed paper, which contain new and interesting results, are also included. The fields of the presented papers are very large as demonstrated by the following selection of key words from selected papers in this volume: • optimal control, stochastic optimal control, MATLAB, economic models, implicit constraints, Bellman principle, Markov process, decision-making under uncertainty, risk aversion, dynamic programming, optimal value function. • emergent computation, complexity, traveling salesman problem, signal estimation, neural networks, time congestion, teletraffic. • gap functions, nonsmooth variational inequalities, derivative-free algo rithm, Newton's method. • auxiliary function, generalized penalty function, modified Lagrange func tion. • convexity, quasiconvexity, abstract convexity.
Download or read book Management Science written by and published by . This book was released on 2002-05 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.
Download or read book Stochastic Methods in Asset Pricing written by Andrew Lyasoff and published by MIT Press. This book was released on 2017-08-25 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications. This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields. The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.
Download or read book On Optimal Stopping written by Joseph A. Yahav and published by . This book was released on 1963 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamical Systems and Control written by Firdaus E. Udwadia and published by CRC Press. This book was released on 2004-05-10 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 11th International Workshop on Dynamics and Control brought together scientists and engineers from diverse fields and gave them a venue to develop a greater understanding of this discipline and how it relates to many areas in science, engineering, economics, and biology. The event gave researchers an opportunity to investigate ideas and techniq
Download or read book Control of Integral Processes with Dead Time written by Antonio Visioli and published by Springer Science & Business Media. This book was released on 2010-11-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control of Integral Processes with Dead Time provides a unified and coherent review of the various approaches devised for the control of integral processes, addressing the problem from different standpoints. In particular, the book treats the following topics: How to tune a PID controller and assess its performance; How to design a two-degree-of-freedom control scheme in order to deal with both the set-point following and load disturbance rejection tasks; How to modify the basic Smith predictor control scheme in order to cope with the presence of an integrator in the process; and how to address the presence of large process dead times. The methods are presented sequentially, highlighting the evolution of their rationale and implementation and thus clearly characterising them from both academic and industrial perspectives.
