Optimization, Control, and Applications of Stochastic Systems
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18

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Published By Birkhäuser Boston

9780817683368, 9780817683375

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Optimal Execution of Derivatives: A Taylor Expansion Approach

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_9 ◽

2012 ◽

pp. 151-156

Author(s):

Gerardo Hernandez-del-Valle ◽

Yuemeng Sun

Keyword(s):

Taylor Expansion ◽

Optimal Execution

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Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_5 ◽

2012 ◽

pp. 77-97 ◽

Author(s):

Eugene A. Feinberg

Keyword(s):

Discrete Time ◽

Continuous Time ◽

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On the Regularity Property of Semi-Markov Processes with Borel State Spaces

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_18 ◽

2012 ◽

pp. 301-309 ◽

Author(s):

Óscar Vega-Amaya

Keyword(s):

Markov Processes ◽

Regularity Property ◽

State Spaces ◽

Semi Markov Processes

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Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_16 ◽

2012 ◽

pp. 265-282

Author(s):

Lukasz Stettner

Keyword(s):

Discrete Time ◽

Continuous Time ◽

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A Constrained Optimization Problem with Applications to Constrained MDPs

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_8 ◽

2012 ◽

pp. 125-150

Author(s):

Xianping Guo ◽

Qingda Wei ◽

Junyu Zhang

Keyword(s):

Constrained Optimization ◽

Optimization Problem ◽

Constrained Optimization Problem

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Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_12 ◽

2012 ◽

pp. 203-223

Author(s):

Héctor Jasso-Fuentes ◽

George Yin

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Infinite Horizon ◽

Control Problems ◽

Switching Diffusions ◽

Hybrid Switching

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Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_11 ◽

2012 ◽

pp. 181-202 ◽

Author(s):

Yonghui Huang ◽

Xianping Guo

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

First Passage ◽

Markov Decision

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Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_7 ◽

2012 ◽

pp. 111-124

Author(s):

T. E. Govindan

Keyword(s):

Existence And Uniqueness ◽

Infinite Dimensions ◽

Uniqueness Of Solutions

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Approximation of Infinite Horizon Discounted Cost Markov Decision Processes

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_4 ◽

2012 ◽

pp. 59-76 ◽

Author(s):

François Dufour ◽

Tomás Prieto-Rumeau

Keyword(s):

Markov Decision Processes ◽

Infinite Horizon ◽

Decision Processes ◽

Discounted Cost ◽

Markov Decision

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Fluid Approximations to Markov Decision Processes with Local Transitions

Optimization, Control, and Applications of Stochastic Systems ◽

10.1007/978-0-8176-8337-5_13 ◽

2012 ◽

pp. 225-238

Author(s):

Alexey Piunovskiy ◽

Yi Zhang

Keyword(s):

Markov Decision Processes ◽

Decision Processes ◽

Fluid Approximations ◽

Markov Decision

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