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Stochastic Control and Mathematical Modeling Applications in Economics, Hiroaki Morimoto



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Цена: 18981р.
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Автор: Hiroaki Morimoto
Название:  Stochastic Control and Mathematical Modeling Applications in Economics
Перевод названия: Моримото: Стохастический контроль и математическое моделирование
ISBN: 9780521195034
Издательство: Cambridge Academ
Классификация:
ISBN-10: 0521195039
Обложка/Формат: Hardback
Страницы: 340
Вес: 0.614 кг.
Дата издания: 22.04.2010
Серия: Encyclopedia of Mathematics and its Applications, 131
Язык: English
Размер: 243 x 164 x 26
Читательская аудитория: stochastic processes, optimization, mathematical economics
Основная тема: Statistics and probability
Подзаголовок: Applications in Economics
Ссылка на Издательство: Link
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Поставляется из: Англии



Mathematical methods and models for economists

Автор: Fuente, Angel de la.
Название: Mathematical methods and models for economists
ISBN: 0521585295 ISBN-13(EAN): 9780521585293
Издательство: Cambridge Academ
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Цена: 8495 р.
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Описание: This book is intended as a textbook for a first-year PhD course in mathematics for economists and as a reference for graduate students in economics. It provides a self-contained, rigorous treatment of most of the concepts and techniques required to follow the standard first-year theory sequence in micro and macroeconomics. The topics covered include an introduction to analysis in metric spaces, differential calculus, comparative statics, convexity, static optimization, dynamical systems and dynamic optimization. The book includes a large number of applications to standard economic models and over two hundred fully worked-out problems.

Stochastic Processes

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 11025 р.
Наличие на складе: Есть (1 шт.)
Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.

Stochastic processes

Автор: Parzen, Emanuel
Название: Stochastic processes
ISBN: 0898714419 ISBN-13(EAN): 9780898714418
Издательство: Eurospan
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Цена: 11811 р.
Наличие на складе: Нет в наличии.

Описание: This introductory textbook explains how and why probability models are applied to scientific fields such as medicine, biology, physics, oceanography, economics, and psychology to solve problems about stochastic processes. It does not just show how a problem is solved but explains why by formulating questions and first steps in the solutions.

Mathematical Methods in Robust Control of Linear Stochastic Systems

Автор: Dragan
Название: Mathematical Methods in Robust Control of Linear Stochastic Systems
ISBN: 0387305238 ISBN-13(EAN): 9780387305233
Издательство: Springer
Цена: 9348 р.
Наличие на складе: Поставка под заказ.

Описание: Linear stochastic systems are successfully used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. This monograph presents a useful methodology for the control of such stochastic systems with a focus on robust stabilization in the mean square, linear quadratic control, the distur ance attenuation problem, and robust stabilization with respect to dynamic and parametric uncertainty. Systems with both multiplicative white noise and Markovian jumping are covered.

This book's key features: cover the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations; include detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations; includes a systematic presentation which leads the reader in a natural way to the original results; contain new theoretical results accompanied by detailed numerical examples; and, proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations. The unique monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.

Optimal Control of Soil Venting: Mathematical Modeling and Applications

Автор: Slodicka
Название: Optimal Control of Soil Venting: Mathematical Modeling and Applications
ISBN: 3764360410 ISBN-13(EAN): 9783764360412
Издательство: Springer
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Цена: 17819 р.
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Описание: The task to develop a practicable simulation tool for optimal control of soil vapor extraction was attacked by an interdisciplinary group consisting of mathematicians, soil physicists, chemists and in cooperation with a remediation company. The purpose of this book is to describe the latest and most appropriate mathematical and numerical methods for optimizing soil venting and to demonstrate the application beginning with a conceptual mathematical model, the derivation and estimation of model parameters, generation of parameter distributions, sensitivity analysis, model calibration and numerical analysis of two spillage test cases, and stochastic optimization. The monograph considers mathematical, numerical, technical aspects as well as the practical significance.

This book will be of interest to applied mathematicians, geophysicists, geoecologist, soil physicists, and environmental engineers.

Problems and Solutions in Mathematical Finance: Volume I - Stochastic Calculus

Автор: Chin Eric, Olafsson Sverrir, Nel Dian
Название: Problems and Solutions in Mathematical Finance: Volume I - Stochastic Calculus
ISBN: 1119965837 ISBN-13(EAN): 9781119965831
Издательство: Wiley
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Цена: 7258 р.
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Описание: Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four–volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. This book takes a dual approach using stochastic calculus to develop partial differentiation equations for pricing options and also constructs probability measures via martingale theory so that option prices can be expressed as expectations. Each chapter begins with an introduction to the fundamentals and the essential definitions and explanations needed to solve the subsequent problems. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance

Автор: Chung K. L., AitSahlia Farid
Название: Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance
ISBN: 038795578X ISBN-13(EAN): 9780387955780
Издательство: Springer
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Цена: 11136 р.
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Описание: Provides an introduction to probability theory and its applications.

Modeling, Analysis, Design, and Control of Stochastic Systems

Автор: Kulkarni
Название: Modeling, Analysis, Design, and Control of Stochastic Systems
ISBN: 0387987258 ISBN-13(EAN): 9780387987255
Издательство: Springer
Цена: 12615 р.
Наличие на складе: Поставка под заказ.

Описание: This is an introductory level text on stochastic modeling. It is suited for undergraduate or graduate students in actuarial science, business management, computer science, engineering, operations research, public policy, statistics, and mathematics. It employs a large number of examples to teach how to build stochastic models of physical systems, analyze these models to predict their performance, and use the analysis to design and control them. The book provides a self-contained review of the relevant topics in probability theory. The rest of the book is devoted to important classes of stochastic models. In discrete and continuous time Markov models it covers the transient and long term behavior, cost models, and first passage times. Under generalized Markov models, it covers renewal processes, cumulative processes and semi-Markov processes. All the material is illustrated with many examples. There is a separate chapter on queueing models. In the chapter on design the author shows how the techniques developed in the text can be used to optimize the performance of a system. Finally, in the last chapter, linear programming is used to compute optimal control policies for stochastic systems. The book emphasizes numerical answers to the problems. A software package called MAXIM, which runs on MATLAB, is made available for downloading. Vidyadhar G. Kulkarni is Professor of Operations Research at the University of North Craolina at Chapel Hill. He has authored a graduate level text 'Modeling and Analysis of Stochastic Systems' and research articles on stochastic models of queues, computer systems and telecommunication systems. He holds a patent on traffic management in telecommunication networks, and he has served as an editor and associate editor of Stochastic Models and Operations Research Letters.

Optimal Control and Optimization of Stochastic Supply Chain Systems

Автор: Song
Название: Optimal Control and Optimization of Stochastic Supply Chain Systems
ISBN: 1447147235 ISBN-13(EAN): 9781447147237
Издательство: Springer
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Цена: 22204 р.
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Описание: This book demonstrates the structural characteristics of the optimal control policies in various stochastic supply chains and to shows how to make use of these characteristics to construct easy-to-operate sub-optimal policies.

Two-Scale Stochastic Systems / Asymptotic Analysis and Control

Автор: Kabanov Yuri, Pergamenshchikov Sergei
Название: Two-Scale Stochastic Systems / Asymptotic Analysis and Control
ISBN: 3540653325 ISBN-13(EAN): 9783540653325
Издательство: Springer
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Цена: 14849 р.
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Описание: Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.

Stochastic Numerics for Mathematical Physics

Автор: Milstein G.N., Tretyakov M.V.
Название: Stochastic Numerics for Mathematical Physics
ISBN: 3540211101 ISBN-13(EAN): 9783540211105
Издательство: Springer
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Цена: 20817 р.
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Описание: Stochastic differential equations have many applications in the natural sciences. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce solution of multi-dimensional problems for partial differential equations to integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. The authors propose many new special schemes, some published here for the first time. In the second part of the book they construct numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.

Theory of Stochastic Differential Equations with Jumps and Applications / Mathematical and Analytical Techniques with Applications to Engineering

Автор: SITU Rong
Название: Theory of Stochastic Differential Equations with Jumps and Applications / Mathematical and Analytical Techniques with Applications to Engineering
ISBN: 0387250832 ISBN-13(EAN): 9780387250830
Издательство: Springer
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Цена: 27756 р.
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Описание: Stochastic differential equations (SDEs) are a powerful tool in science, mathematics, economics and finance. This book will help the reader to master the basic theory and learn some applications of SDEs. In particular, the reader will be provided with the backward SDE technique for use in research when considering financial problems in the market, and with the reflecting SDE technique to enable study of optimal stochastic population control problems. These two techniques are powerful and efficient, and can also be applied to research in many other problems in nature, science and elsewhere.


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