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Stochastic Processes, Optimization, and Control Theory: Applications in Financia

A Volume in Honor of Suresh Sethi, International Series in Operations Research &

George Yin, G / Zhang, Qing
Erschienen am 01.11.2010
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Bibliografische Daten
ISBN/EAN: 9781441941480
Sprache: Englisch
Auflage: 1. Auflage

Beschreibung

InhaltsangabeTCP-AQM Interaction: Periodic Optimization via Linear Programming.- Explicit Solutions of Linear Quadratic Differential Games.- Extended Generators of Markov Processes and Applications.- Control of Manufacturing Systems with Delayed Inspection and Limited Capacity.- Admission Control in the Presence of Priorities: A Sample Path Approach.- Some Bilinear Stochastic Equations with a Fractional Brownian Motion.- Two Types of Risk.- Optimal Production Policy in a Stochastic Manufacturing System.- A Stochastic Control Approach to Optimal Climate Policies.- Characterization of Just in Time Sequencing via Apportionment.- Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion.- Hedging Options with Transaction Costs.- Supply Portfolio Selection and Execution with Demand Information Updates.- A Regime-Switching Model for European Options.- Pricing American Put Options Using Stochastic Optimization Methods.- Optimal Portfolio Application with Double-Uniform Jump Model.