Continuous-time Stochastic Control and Optimization with Financial Applications
Continuous-time Stochastic Control and Optimization with Financial Applications

Author: Huyên Pham

Publisher: Springer Science & Business Media

Published: 2009-05-28

Total Pages: 243

ISBN-13: 3540895000

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Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Control Applications of Optimization 2000 (CAO 2000)
Control Applications of Optimization 2000 (CAO 2000)

Author: Valeriĭ Nikolaevich Zakharov

Publisher: Pergamon

Published: 2000

Total Pages: 436

ISBN-13:

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This Proceedings contains the papers presented at the 11th IFAC Workshop on Control Applications of Optimization held at Saint Petersburg State University, Saint Petersburg, Russia on 3-6 July 2000. It was the 11th IFAC workshop of the Control Applications of Optimization series. It explored current mathematical and engineering problems. The range of the topics discussed included (but was not restricted to): optimal control control design, control processed and stability, optimal damping and oscillation, games and stochastic control, estimation and identification, numerical methods, control applications, robust control, nonlinear systems.

Optimization: Techniques And Applications (Icota '95)
Optimization: Techniques And Applications (Icota '95)

Author: G Z Liu

Publisher: World Scientific

Published: 1995-09-01

Total Pages: 1718

ISBN-13: 9814549150

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With the advent of powerful computers and novel mathematical programming techniques, the multidisciplinary field of optimization has advanced to the stage that quite complicated systems can be addressed. The conference was organized to provide a platform for the exchange of new ideas and information and for identifying needs for future research. The contributions covered both theoretical techniques and a rich variety of case studies to which optimization can be usefully applied.

System Modelling and Optimization
System Modelling and Optimization

Author: J. Dolezal

Publisher: Springer

Published: 2013-06-05

Total Pages: 635

ISBN-13: 0387348972

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Proceedings volume contains carefully selected papers presented during the 17th IFIP Conference on System Modelling and Optimization. Optimization theory and practice, optimal control, system modelling, stochastic optimization, and technical and non-technical applications of the existing theory are among areas mostly addressed in the included papers. Main directions are treated in addition to several survey papers based on invited presentations of leading specialists in the respective fields. Publication provides state-of-the-art in the area of system theory and optimization and points out several new areas (e.g fuzzy set, neural nets), where classical optimization topics intersects with computer science methodology.

Real-Time Optimization by Extremum-Seeking Control
Real-Time Optimization by Extremum-Seeking Control

Author: Kartik B. Ariyur

Publisher: John Wiley & Sons

Published: 2003-10-03

Total Pages: 254

ISBN-13: 9780471468592

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An up-close look at the theory behind and application of extremum seeking Originally developed as a method of adaptive control for hard-to-model systems, extremum seeking solves some of the same problems as today's neural network techniques, but in a more rigorous and practical way. Following the resurgence in popularity of extremum-seeking control in aerospace and automotive engineering, Real-Time Optimization by Extremum-Seeking Control presents the theoretical foundations and selected applications of this method of real-time optimization. Written by authorities in the field and pioneers in adaptive nonlinear control systems, this book presents both significant theoretic value and important practical potential. Filled with in-depth insight and expert advice, Real-Time Optimization by Extremum-Seeking Control: * Develops optimization theory from the points of dynamic feedback and adaptation * Builds a solid bridge between the classical optimization theory and modern feedback and adaptation techniques * Provides a collection of useful tools for problems in this complex area * Presents numerous applications of this powerful methodology * Demonstrates the immense potential of this methodology for future theory development and applications Real-Time Optimization by Extremum-Seeking Control is an important resource for both students and professionals in all areas of engineering-electrical, mechanical, aerospace, chemical, biomedical-and is also a valuable reference for practicing control engineers.

Operations Research Proceedings 1996
Operations Research Proceedings 1996

Author: Uwe Zimmermann

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 536

ISBN-13: 3642607446

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The volume contains a selection of manuscripts of lectures presented at the International Symposi um on Operations Research (SOR 96). The Symposium took place at the Technical University of Braunschweig, September 3-6, 1996. SOR 96 was organized under the auspices of the two German societies of Operations Research, Deutsche Gesellschaft fur Operations Research (DGOR) and Gesellschaft fur Mathematik, Okonomie and Operations Research (GMOOR) in cooperation with the Working Group Discrete Optimization of the IFIP (WG7.4). Since 1995, DGOR and GMOORjointly prepare the Symposium as a common annual conference. In particular, the annual general meetings of the DGOR, the GMOOR and the WG7.4 took place during the conference. The Symposi~m had 527 participants from 32 countries around the world, including 92 partici pants from Eastern Europe. The Symposium obviously attracts an international audience of workers fully covering the broad spectrum of Operations Research and related areas in economics, mathema tics and computer science. The importance of a highly interdisciplinary field as Operations Research is increasing owing to the growth in applications in related disciplines. Technological advances in computer science and algorithmic mathematics are crucial for attacking the great challenges waiting in the areas of applications of Operations Research effectively. As a participant of SOR 96 one could well observe the current pace of achievements. Many of these results are in these proceedings. The program consisted of two plenary, 17 semiplenary, and 335 contributed lectures in 18 sections.

Advances in Dynamic Game Theory
Advances in Dynamic Game Theory

Author: Steffen Jorgensen

Publisher: Springer Science & Business Media

Published: 2007-11-15

Total Pages: 722

ISBN-13: 0817645535

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This collection of selected contributions gives an account of recent developments in dynamic game theory and its applications, covering both theoretical advances and new applications of dynamic games in such areas as pursuit-evasion games, ecology, and economics. Written by experts in their respective disciplines, the chapters include stochastic and differential games; dynamic games and their applications in various areas, such as ecology and economics; pursuit-evasion games; and evolutionary game theory and applications. The work will serve as a state-of-the art account of recent advances in dynamic game theory and its applications for researchers, practitioners, and advanced students in applied mathematics, mathematical finance, and engineering.

Proceedings of Seventh International Conference on Bio-Inspired Computing: Theories and Applications (BIC-TA 2012)
Proceedings of Seventh International Conference on Bio-Inspired Computing: Theories and Applications (BIC-TA 2012)

Author: Jagdish C. Bansal

Publisher: Springer Science & Business Media

Published: 2012-12-04

Total Pages: 540

ISBN-13: 8132210417

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The book is a collection of high quality peer reviewed research papers presented in Seventh International Conference on Bio-Inspired Computing (BIC-TA 2012) held at ABV-IIITM Gwalior, India. These research papers provide the latest developments in the broad area of "Computational Intelligence". The book discusses wide variety of industrial, engineering and scientific applications of nature/bio-inspired computing and presents invited papers from the inventors/originators of novel computational techniques.

Control Applications in Post-Harvest and Processing Technology 1995
Control Applications in Post-Harvest and Processing Technology 1995

Author: J. De Baerdemaeker

Publisher: Elsevier

Published: 2016-01-22

Total Pages: 331

ISBN-13: 1483296857

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The 1st IFAC/CIGR/EURAENG/ISHS Workshop on Control Applications in Post-Harvest and Processing Technology (CAPPT '95) provides the opportunity to discuss and evaluate the state of the art and application of control methods in storage and processes of agricultural and horticultural products. This publication, generated from the papers at the workshop, provides a detailed assessment of present and future developments of key technologies within the agricultural and horticultural fields.