Stochastic Analysis, Control, Optimization and Applications A Volume in Honor of W.H. Fleming

Main Author: McEneaney, William M.
Corporate Author: SpringerLink (Online service)
Other Authors: Yin, G. George (Editor), Zhang, Qing (Editor)
Format: eBook
Language:English
Published: Boston, MA Birkhäuser Boston 1999, 1999
Series:Systems & Control: Foundations & Applications
Subjects:
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • I. Large Deviations, Risk Sensitive And H?, Control
  • 1. Representations for Functionals of Hilbert Space Valued Diffusions
  • 2. Risk-Sensitive, Minimax, and Mixed Risk-Neutral/Minimax Control of Markov Decision Processes
  • 3. Partially Observed Control Problems with Multiplicative Cost
  • 4. Nonlinear Semigroups for Partially Observed Risk-Sensitive Control and Minimax Games
  • 5. Nonlinear, Dissipative, Infinite Dimensional Systems
  • 6. Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive 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
  • A Viscosity Solutions Approach
  • 12. Remarks on the Dirichlet Problem for Quasilinear Elliptic and Parabolic Equations
  • 13. A Generalized Hamilton-Jacobi-Bellman Equation for Deterministic Optimal Control Problems
  • 14. Regular Solutions of Stochastic Burgers Equation
  • 15. Piecewise-Deterministic Processes and Viscosity Solutions
  • 16. Mathematical Approaches to the Problem of Noise-Induced Exit
  • 17. An Approximation Scheme for Evolutive Hamilton-Jacobi Equations
  • 18. Homogenization of the Cauchy Problem for Hamilton-Jacobi 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 Feynman-Kac Representations
  • 21. Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data
  • 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 Inter-sampling Times
  • IV. Mathematical Finance and Other Applications
  • 31. Option Pricing in a Market with Frictions
  • 32. Pathwise Comparison of Arithmetic Brownian Motions and Log-normal Processes
  • 33. Critical Power for Asymptotic Connectivity in Wireless Networks
  • 34. Pricing Models with Transaction Fees
  • Asymptotic Optimality