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Controlled Markov Processes and Viscosity Solutions, Fleming Wendell H., Soner H.M.


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Цена: 11219р.
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Склад Англия: 261 шт.  Склад Америка: 116 шт.  
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Автор: Fleming Wendell H., Soner H.M.
Название:  Controlled Markov Processes and Viscosity Solutions   (Флеминг Венделл: Контролируемые марковские процессы и вязкость растворов)
Издательство: Springer
Классификация:
Управление и методы управления
Вероятность и статистика
Прикладная математика
Электронная техника

ISBN: 0387260455
ISBN-13(EAN): 9780387260457
ISBN: 0-387-26045-5
ISBN-13(EAN): 978-0-387-26045-7
Обложка/Формат: Hardback
Страницы: 429
Вес: 0.834 кг.
Дата издания: 2006
Серия: Stochastic Modelling and Applied Probability
Язык: ENG
Издание: 2nd ed. 2006
Иллюстрации: Xvii, 429 p.
Размер: 24.23 x 16.10 x 2.46 cm
Читательская аудитория: Postgraduate, research & scholarly
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.
Дополнительное описание: Формат: 235x155
Круг читателей: Advanced graduate students, postdocs and researchers in applied mathematics
Ключевые слова:
Язык: eng
Издание: 2nd ed.
Оглавление: Preface.- Preface to Second Edition.- Notation.- Deterministic Optimal Control.- Viscosity Solutions.- Optimal Control of Markov Processes:Classical Solutions.- Controlled Markov Diffusions in IRn.- Viscosity Solutions: Scond-Order Case.- Logarithmic Transformations and Risk Sensitivity.- Singular Perturbations.- Singular Stochastic Control.- Finite Difference Numerical Approximations.- Applications to Finance.- Differential Games.- Duality Relationships.- Dynkin ’s Formula for Random Evolutions with Markov Chain Parameters.- Extension of Lipschitz Continuous Functions; Smoothing.





Diffusions, Markov Processes and Martingales

Автор: L. C. G. Rogers
Название: Diffusions, Markov Processes and Martingales
ISBN: 0521775930 ISBN-13(EAN): 9780521775939
Издательство: Cambridge Academ
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Цена: 4892 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Now available in paperback, this celebrated book has been prepared with readers’ needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second volume follows on from the first, concentrating on stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Much effort has gone into making these subjects as accessible as possible by providing many concrete examples that illustrate techniques of calculation, and by treating all topics from the ground up, starting from simple cases. Many of the examples and proofs are new; some important calculational techniques appeared for the first time in this book. Together with its companion volume, this book helps equip graduate students for research into a subject of great intrinsic interest and wide application in physics, biology, engineering, finance and computer science.

An Introduction to Markov Processes

Автор: Stroock Daniel W.
Название: An Introduction to Markov Processes
ISBN: 3540234993 ISBN-13(EAN): 9783540234999
Издательство: Springer
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Цена: 6540 р.
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Описание: This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin's theory, general ergodic properties, and continuous time processes. A whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium.

Design of Higher-Performance CMOS Voltage Controlled Oscillators

Автор: Liang Dai
Название: Design of Higher-Performance CMOS Voltage Controlled Oscillators
ISBN: 1402072384 ISBN-13(EAN): 9781402072383
Издательство: Springer
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Цена: 15728 р.
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Описание: Presenting a phase noise modelling framework for CMOS ring oscillators, this book considers both linear and nonlinear operation. It indicates that fast rail-to-rail switching has to be achieved to minimize phase noise. In conventional design, the flicker noise in the bias circuit can potentially dominate the phase noise at low offset frequencies.

Nonlinear Kalman Filtering for Force-Controlled Robot Tasks

Автор: Lefebvre
Название: Nonlinear Kalman Filtering for Force-Controlled Robot Tasks
ISBN: 3540280235 ISBN-13(EAN): 9783540280231
Издательство: Springer
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Цена: 14854 р.
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Описание: Focuses on how to achieve more robot autonomy by means of reliable processing skills. This monograph discusses the developments in the areas of contact modeling, nonlinear parameter estimation and task plan optimization for improved estimation accuracy.

Автор: Martin L. Puterman
Название: Markov Decision Processes: Discrete Stochastic Dynamic Programming
ISBN: 0471727822 ISBN-13(EAN): 9780471727828
Издательство: Wiley
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Цена: 12854 р.
Наличие на складе: Ожидается поступление.

Описание: The Wiley--Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "This text is unique in bringing together so many results hitherto found only in part in other texts and papers...The text is fairly self--contained, inclusive of some basic mathematical results needed, and provides a rich diet of examples, applications, and exercises. The bibliographical material at the end of each chapter is excellent, not only from a historical perspective, but because it is valuable for researchers in acquiring a good perspective of the MDP research potential." - Zentralblatt fur Mathematik "...it is of great value to advanced--level students, researchers, and professional practitioners of this field to have now a complete volume (with more than 600 pages) devoted to this topic...Markov Decision Processes: Discrete Stochastic Dynamic Programming represents an up--to--date, unified, and rigorous tre " - Journal of the American Statistical Association

Markov Processes, Brownian Motion, and Time Symmetry

Автор: Chung
Название: Markov Processes, Brownian Motion, and Time Symmetry
ISBN: 0387220267 ISBN-13(EAN): 9780387220260
Издательство: Springer
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Цена: 11028 р.
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Описание: From the reviews of the First Edition:"This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester course given by the author at the ETH, ZГјrich, in the spring of 1970. The author's aim was to present some of the best features of Markov processes and, in particular, of Brownian motion with a minimum of prerequisites and technicalities. The reader who becomes acquainted with the volume cannot but agree with the reviewer that the author was very successful in accomplishing this goal…The volume is very useful for people who wish to learn Markov processes but it seems to the reviewer that it is also of great interest to specialists in this area who could derive much stimulus from it. One can be convinced that it will receive wide circulation." (Mathematical Reviews)This new edition contains 9 new chapters which include new exercises, references, and multiple corrections throughout the original text.

Markov Processes for Stochastic Modeling,

Автор: Oliver Ibe
Название: Markov Processes for Stochastic Modeling,
ISBN: 0123744512 ISBN-13(EAN): 9780123744517
Издательство: Elsevier Science
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Цена: 6166 р.
Наличие на складе: Невозможна поставка.

Описание: Markov processes are used to model systems with limited memory. This book discusses topics such as Markovian queuing system, continuous-time random walk, correlated random walk, Brownian motion, diffusion processes, hidden Markov models, Markov random fields, Markov point processes and Markov chain Monte Carlo.

Markov Processes,

Автор: Daniel T. Gillespie
Название: Markov Processes,
ISBN: 0122839552 ISBN-13(EAN): 9780122839559
Издательство: Elsevier Science
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Цена: 5138 р.
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Описание: Markov process theory is basically an extension of ordinary calculus to accommodate functions whose time evolutions are not entirely deterministic. This book develops the single-variable theory of both continuous and jump Markov processes. It is intended for physicists and chemists at the senior and graduate level.

Cycle Representations of Markov Processes

Автор: Kalpazidou Sophia L.
Название: Cycle Representations of Markov Processes
ISBN: 0387291660 ISBN-13(EAN): 9780387291666
Издательство: Springer
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Цена: 15427 р.
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Описание: This book is a prototype providing new insight into Markovian dependence via the cycle decompositions. It presents a systematic account of a class of stochastic processes known as cycle (or circuit) processes - so-called because they may be defined by directed cycles. These processes have special and important properties through the interaction between the geometric properties of the trajectories and the algebraic characterization of the Markov process. An important application of this approach is the insight it provides to electrical networks and the duality principle of networks. In particular, it provides an entirely new approach to infinite electrical networks and their applications in topics as diverse as random walks, the classification of Riemann surfaces, and to operator theory.The second edition of this book adds new advances to many directions, which reveal wide-ranging interpretations of the cycle representations like homologic decompositions, orthogonality equations, Fourier series, semigroup equations, and disintegration of measures. The versatility of these interpretations is consequently motivated by the existence of algebraic-topological principles in the fundamentals of the cycle representations. This book contains chapter summaries as well as a number of detailed illustrations.Review of the earlier edition:"This is a very useful monograph which avoids ready ways and opens new research perspectives. It will certainly stimulate further work, especially on the interplay of algebraic and geometrical aspects of Markovian dependence and its generalizations."Math Reviews.

Markov Processes, Gaussian Processes, and Local Times

Автор: Michael B. Marcus
Название: Markov Processes, Gaussian Processes, and Local Times
ISBN: 0521863007 ISBN-13(EAN): 9780521863001
Издательство: Cambridge Academ
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Цена: 8014 р.
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Описание: Written by two foremost researchers in the field, this book studies the local times of Markov processes by employing isomorphism theorems that relate them to certain associated Gaussian processes. It builds to this material through self-contained but harmonized ‘mini-courses’ on the relevant ingredients, which assume only knowledge of measure-theoretic probability. The streamlined selection of topics creates an easy entrance for students and for experts in related fields. The book starts by developing the fundamentals of Markov process theory and then of Gaussian process theory, including sample path properties. It then proceeds to more advanced results, bringing the reader to the heart of contemporary research. It presents the remarkable isomorphism theorems of Dynkin and Eisenbaum, then shows how they can be applied to obtain new properties of Markov processes by using well-established techniques in Gaussian process theory. This original, readable book will appeal to both researchers and advanced graduate students.

Time-domain Analog-to-Digital Converters using Voltage-Controlled Oscillators

Автор: Cho
Название: Time-domain Analog-to-Digital Converters using Voltage-Controlled Oscillators
ISBN: 1461402336 ISBN-13(EAN): 9781461402336
Издательство: Springer
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Цена: 9345 р.
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Dynamics of Controlled Mechanical Systems with Delayed Feedback

Автор: Hu H.Y., Wang Z.H.
Название: Dynamics of Controlled Mechanical Systems with Delayed Feedback
ISBN: 3540437339 ISBN-13(EAN): 9783540437338
Издательство: Springer
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Цена: 14854 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The time delays in controllers and actuators can either deteriorate or improve the dynamic performance of a controlled mechanical system. Thus, it is desirable to gain an insight into the effect of time delays on the dynamics of a practical system in its design phase. This monograph represents the recent advances in system modeling, analysis of stability, robust stability and bifurcation by using some new mathematical tools such as generalized Sturm criterion and Dixon's resultant elimination of polynomials. The theoretical results are demonstrated through a number of examples of active vehicle chassis, structure control, as well as the control of chaos of mechanical systems.


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