Riassunto
The Workshop on Stochastic Theory and Control, sponsored by the NSF and KU, with co-technical sponsorship of the CSS, was held on October 18-20, 2001 at the University of Kansas in Lawrence, Kansas. A group of leading scholars in the field of stochastic theory and control, gathered at this event to discuss leading-edge topics of stochastic control, which includes risk sensitive control, adaptive control, mathematics of finance, estimation, identification, optimal control, nonlinear filtering, stochastic differential equations, stochastic partial differential equations, and stochastic theory and its applications. The workshop provided an opportunity for all of stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching, and future directions of stochastic control.
Contenuti
Nonlinear and Stochastic Stability Problems in Gated Radar Range Trackers.- Asymptotic Properties and Associated Control Problems of Discrete-Time Singularly Perturbed Markov Chains.- Feedback Designs in Information-Based Control.- Ergodic Control Bellman Equation with Neumann Boundary Conditions.- Regime Switching and European Options.- Equivalence of Two Kinds of Stability for Multi-dimensional ARMA Systems.- System Identification and Time Series Analysis: Past, Present, and Future.- Max-Plus Stochastic Control.- An Optimal Consumption-Investment Problem for Factor-Dependent Models.- Adaptation of a Real-Time Seizure Detection Algorithm.- Randomization Methods in Optimization and Adaptive Control.- Capacity of the Multiple-Input, Multiple-Output Poisson Channel.- Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes.- Numerical Methods for Optimal Stopping Using Linear and Non-linear Programming.- The ODE Method and Spectral Theory of Markov Operators.- Sign-Regressor Adaptive Filtering Algorithms Using Averaged Iterates and Observations.- Kalman-Type Filters Approach for Some Nonparametric Estimation Problems.- Detection and Estimation in Stochastic Systems with Time-Varying Parameters.- Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI.- Stochastic Lagrangian Adaptive LQG Control.- Optimal Control of Linear Backward Stochastic Differential Equations with a Quadratic Cost Criterion.- Hilbert Spaces Induced by Toeplitz Covariance Kernels.- Error Analysis of a Max-Plus Algorithm for a First-Order HJB Equation.- Optimal Strategies for Ergodic Control Problems Arising from Portfolio Optimization.- Finite Horizon Full-State Feedback kCC Control in Civil Structures Protection.- Robust Stochastic Maximum Principle: A Measured Space as Uncertainty Set.- On Optimality of Stochastic N-Machine Flowshop with Long-Run Average Cost.- A Risk-Sensitive Generalization of Maximum APosterior Probability (MAP) Estimation.- Bayesian Adaptive Control of Discrete Time Partially Observed Markov Processes.- Portfolio Optimization in Markets Having Stochastic Rates.- Moment Problems Related to the Solutions of Stochastic Differential Equations.- -Transform, Normal Functionals, and Lévy Laplacian in Poisson Noise Analysis.- Probabilistic Rate Compartment Cancer Model: Alternate versus Traditional Chemotherapy Scheduling.- Finite-Dimensional Filters with Nonlinear Drift. XII: Linear and Constant Structure of Wong-Matrix.- The Stability Game.- Bayes Estimation via Filtering Equation for O-U Process with Discrete Noises: Application to the Micro-Movement of Stock Prices.- Hybrid Filtering.
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