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140122  eng 
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a 9781461217848

100 
1 

a McEneaney, William M.
e [editor]

245 
0 
0 
a Stochastic Analysis, Control, Optimization and Applications
h Elektronische Ressource
b A Volume in Honor of W.H. Fleming
c edited by William M. McEneaney, G. George Yin, Qing Zhang

250 


a 1st ed. 1999

260 


a Boston, MA
b Birkhäuser Boston
c 1999, 1999

300 


a XXXII, 637 p
b online resource

505 
0 

a Asymptotic Optimality

505 
0 

a I. Large Deviations, Risk Sensitive And H?, Control  1. Representations for Functionals of Hilbert Space Valued Diffusions  2. RiskSensitive, Minimax, and Mixed RiskNeutral/Minimax Control of Markov Decision Processes  3. Partially Observed Control Problems with Multiplicative Cost  4. Nonlinear Semigroups for Partially Observed RiskSensitive Control and Minimax Games  5. Nonlinear, Dissipative, Infinite Dimensional Systems  6. Singular Limits of Bellman Equations of Ergodic Type Related to RiskSensitive Control  7. Game Approach to Risk Sensitive Control for Stochastic Evolution Systems  8. On the Solutions of the Equation Arising from the Singular Limit of Some Eigen Problems  9. Nonlinear H? Controller Design via Viscosity Supersolutions of the Isaacs Equation  II. Partial Differential Equations and Viscosity Solutions  10. Singularities of Semiconcave Functions in Banach Spaces 

505 
0 

a A Viscosity Solutions Approach  12. Remarks on the Dirichlet Problem for Quasilinear Elliptic and Parabolic Equations  13. A Generalized HamiltonJacobiBellman Equation for Deterministic Optimal Control Problems  14. Regular Solutions of Stochastic Burgers Equation  15. PiecewiseDeterministic Processes and Viscosity Solutions  16. Mathematical Approaches to the Problem of NoiseInduced Exit  17. An Approximation Scheme for Evolutive HamiltonJacobi Equations  18. Homogenization of the Cauchy Problem for HamiltonJacobi Equations  19. The Critical Exponent for a Stochastic PDE to Hit Zero  III. Stochastic Control, Filtering and Parameter Estimation  20. Robustness of Zakai’s Equation via FeynmanKac Representations  21. Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data 

505 
0 

a 22. Solvable Infinite Time Horizon Stochastic Control Problems in Noncompact Symmetric Spaces  23. Exact Finite Dimensional Filters for Exponential Functionals of the State  24. A Lyapunov Theory of Nonlinear Observers  25. Existence of Optimal Controls for Variance Control  26. On Optimal Ergodic Control of Diffusions with Jumps  27. Markov Marginal Problems and Their Applications to Markov Optimal Control  28. Entropy Inequalities and Entropy Dynamics in Nonlinear Filtering of Diffusion Processes  29. Identification for Linear Stochastic Distributed Parameter Systems with Boundary/Point Control  30. Monte Carlo Estimation of Diffusion Distributions at Intersampling Times  IV. Mathematical Finance and Other Applications  31. Option Pricing in a Market with Frictions  32. Pathwise Comparison of Arithmetic Brownian Motions and Lognormal Processes  33. Critical Power for Asymptotic Connectivity in Wireless Networks  34. Pricing Models with Transaction Fees

653 


a Mechatronics

653 


a Control, Robotics, Mechatronics

653 


a Control engineering

653 


a Robotics

700 
1 

a Yin, G. George
e [editor]

700 
1 

a Zhang, Qing
e [editor]

710 
2 

a SpringerLink (Online service)

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0 
7 
a eng
2 ISO 6392

989 


b SBA
a Springer Book Archives 2004

490 
0 

a Systems & Control: Foundations & Applications

856 


u https://doi.org/10.1007/9781461217848?nosfx=y
x Verlag
3 Volltext

082 
0 

a 629.8

520 


a 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
