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Birkhäuser - Birkhäuser Mathematics | Optimization, Control, and Applications of Stochastic Systems - In Honor of Onésimo Hernández-Lerma

Optimization, Control, and Applications of Stochastic Systems

In Honor of Onésimo Hernández-Lerma

Hernández-Hernández, Daniel, Minjárez-Sosa, J. Adolfo (Eds.)

2012, XXVII, 309 p. 8 illus., 7 illus. in color.

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  • Presents cutting-edge developments in many different areas of applied mathematics
  • Provides an interdisciplinary approach to the topic
  • Contributions written by experts in the field​

Compiled in honor of Onésimo Hernández-Lerma, this volume offers a broad presentation of the main concepts, techniques, and methodologies in the fields of optimization and control of stochastic systems. At the same time, the book provides an overview of their wide-ranging applications and theoretical developments. These topics include various aspects of dynamic programming, discounted and average optimality criteria for discrete- and continuous-time control processes, approximation algorithms, optimal stopping, and games.

The work comprises 18 carefully selected papers written by experts in their respective fields, and explores five major themes:

* discrete-time Markov control processes;
* several optimality criteria;
* applications in inventory systems and finance;
* stochastic optimal control problems for diffusion;
* optimization.

This book will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and its applications.

Content Level » Research

Keywords » Markov control processes - applications in mathematical finance - dynamic games - infinite-dimensional linear programming - manufacturing systems - operations research - queueing networks - stochastic optimal control

Related subjects » Birkhäuser Applied Probability and Statistics - Birkhäuser Engineering - Birkhäuser Mathematics

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