Stochastic Analysis, Control, Optimization and Applications
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Published By Birkhäuser Boston

9781461272816, 9781461217848

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Hierarchical Production Controls for a Stochastic Manufacturing System with Long-Run Average Cost: Asymptotic Optimality

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_37 ◽

1999 ◽

pp. 621-637

Author(s):

Suresh P. Sethi ◽

Hanqin Zhang

Keyword(s):

Average Cost ◽

Manufacturing System ◽

Asymptotic Optimality ◽

Long Run

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Optimal Portfolio Management with Partial Observations and Power Utility Function

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_36 ◽

1999 ◽

pp. 605-619 ◽

Cited By ~ 19

Author(s):

Raymond Rishel

Keyword(s):

Utility Function ◽

Portfolio Management ◽

Optimal Portfolio ◽

Power Utility ◽

Partial Observations

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Monte Carlo Estimation of Diffusion Distributions at Inter-sampling Times

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_30 ◽

1999 ◽

pp. 505-520

Author(s):

C. J. Wypasek ◽

J. V. Butera ◽

B. G. Fitzpatrick

Keyword(s):

Monte Carlo ◽

Monte Carlo Estimation ◽

Sampling Times

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Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_21 ◽

1999 ◽

pp. 353-371 ◽

Cited By ~ 3

Author(s):

H. T. Banks ◽

B. G. Fitzpatrick ◽

Laura K. Potter ◽

Yue Zhang

Keyword(s):

Probability Distributions ◽

Population Data ◽

Aggregate Population

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Pricing Models with Transaction Fees

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_34 ◽

1999 ◽

pp. 567-584

Author(s):

James E. Hodder ◽

Thaleia Zariphopoulou

Keyword(s):

Pricing Models ◽

Transaction Fees

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On the Solutions of the Equation Arising from the Singular Limit of Some Eigen Problems

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_8 ◽

1999 ◽

pp. 135-150 ◽

Cited By ~ 1

Author(s):

Shuenn-Jyi Sheu ◽

Alexander D. Wentzell

Keyword(s):

Singular Limit

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Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive Control

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_6 ◽

1999 ◽

pp. 95-114

Author(s):

Hideo Nagai

Keyword(s):

Bellman Equations ◽

Singular Limits ◽

Risk Sensitive ◽

Risk Sensitive Control

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Option Pricing in a Market with Frictions

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_31 ◽

1999 ◽

pp. 521-540 ◽

Cited By ~ 2

Author(s):

Alain Bensoussan ◽

Hugues Julien

Keyword(s):

Option Pricing

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Robustness of Zakai’s Equation via Feynman-Kac Representations

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_20 ◽

1999 ◽

pp. 339-352 ◽

Cited By ~ 2

Author(s):

Rami Atar ◽

Frederi Viens ◽

Ofer Zeitouni

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An Approximation Scheme for Evolutive Hamilton-Jacobi Equations

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_17 ◽

1999 ◽

pp. 289-303 ◽

Cited By ~ 13

Author(s):

Maurizio Falcone ◽

Tiziana Giorgi

Keyword(s):

Approximation Scheme ◽

Jacobi Equations

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Stochastic Analysis, Control, Optimization and ApplicationsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Birkhäuser Boston

Hierarchical Production Controls for a Stochastic Manufacturing System with Long-Run Average Cost: Asymptotic Optimality

Optimal Portfolio Management with Partial Observations and Power Utility Function

Monte Carlo Estimation of Diffusion Distributions at Inter-sampling Times

Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data

Pricing Models with Transaction Fees

On the Solutions of the Equation Arising from the Singular Limit of Some Eigen Problems

Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive Control

Option Pricing in a Market with Frictions

Robustness of Zakai’s Equation via Feynman-Kac Representations

An Approximation Scheme for Evolutive Hamilton-Jacobi Equations

Stochastic Analysis, Control, Optimization and Applications
Latest Publications