Stochastic Analysis Filtering And Stochastic Optimization

Author : George Yin
Publisher : Springer Nature
ISBN 13 : 3030985199
Total Pages : 466 pages
Book Rating : 4.96/5 ( download)

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Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin and published by Springer Nature. This book was released on 2022-04-22 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

Author : Allanus Tsoi
Publisher : World Scientific
ISBN 13 : 9814458481
Total Pages : 272 pages
Book Rating : 4.81/5 ( download)

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Download or read book Stochastic Analysis, Stochastic Systems, and Applications to Finance written by Allanus Tsoi and published by World Scientific. This book was released on 2011-06-10 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces some advanced topics in probability theories — both pure and applied — is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling. Contents:Stochastic Analysis and Systems:Multidimensional Wick–Itô Formula for Gaussian Processes (D Nualart & S Ortiz–Latorre)Fractional White Noise Multiplication (A H Tsoi)Invariance Principle of Regime–Switching Diffusions (C Zhu & G Yin)Finance and Stochastics:Real Options and Competition (A Bensoussan, J D Diltz & S R Hoe)Finding Expectations of Monotone Functions of Binary Random Variables by Simulation, with Applications to Reliability, Finance, and Round Robin Tournaments (M Brown, E A Peköz & S M Ross)Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (X Hu, D R Kuipers & Y Zeng)Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems (M Kohlmann & D Xiong)Recombining Tree for Regime–Switching Model: Algorithm and Weak Convergence (R H Liu)Optimal Reinsurance under a Jump Diffusion Model (S Luo)Applications of Counting Processes and Martingales in Survival Analysis (J Sun)Stochastic Algorithms and Numeries for Mean-Revertig Asset Trading (Q Zhang, C Zhuang & G Yin) Readership: Financial mathematicians; applied stochastic analysts, graduate students. Keywords:Stochastic Analysis;Stochastic System;Mathematical FinanceKey Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick–Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the invariance principle of regime-switching diffusion are given in detail

Author : Alan Bain
Publisher : Springer Science & Business Media
ISBN 13 : 0387768963
Total Pages : 395 pages
Book Rating : 4.60/5 ( download)

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Download or read book Fundamentals of Stochastic Filtering written by Alan Bain and published by Springer Science & Business Media. This book was released on 2008-10-08 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 : 9783662213902
Total Pages : 315 pages
Book Rating : 4.07/5 ( download)

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Download or read book Applied Stochastic Analysis written by Ioannis Karatzas and published by Springer. This book was released on 2014-03-12 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475765940
Total Pages : 438 pages
Book Rating : 4.46/5 ( download)

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Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.87/5 ( download)

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Download or read book Applied Stochastic Analysis written by Ioannis Karatzas and published by Springer. This book was released on 1992 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

Author : William M. McEneaney
Publisher : Springer Science & Business Media
ISBN 13 : 1461217849
Total Pages : 660 pages
Book Rating : 4.48/5 ( download)

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Download or read book Stochastic Analysis, Control, Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Author : G. Kallianpur
Publisher : Springer Science & Business Media
ISBN 13 : 1475765924
Total Pages : 326 pages
Book Rating : 4.22/5 ( download)

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Download or read book Stochastic Filtering Theory written by G. Kallianpur and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter polation and extrapolation as well as filtering.

Author : V.I. Arkin
Publisher :
ISBN 13 :
Total Pages : 754 pages
Book Rating : 4.28/5 ( download)

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Download or read book Stochastic Optimization. Proceedings of the International Conference, Kiev, 1984 written by V.I. Arkin and published by . This book was released on 1986 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Ramaprasad Bhar
Publisher : World Scientific
ISBN 13 : 9814304859
Total Pages : 354 pages
Book Rating : 4.56/5 ( download)

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Download or read book Stochastic Filtering with Applications in Finance written by Ramaprasad Bhar and published by World Scientific. This book was released on 2010 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.