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Stochastic Analysis, Control, Optimization and Applications

A Volume in Honor of W.H. Fleming

  • Book
  • © 1999

Overview

Editors:
  1. William M. McEneaney

    1. Department of Mathematics, North Carolina State University, Raleigh, USA

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  2. G. George Yin

    1. Department of Mathematics, Wayne State University, Detroit, USA

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    You can also search for this editor in PubMed   Google Scholar

  3. Qing Zhang

    1. Department of Mathematics, University of Georgia, Athens, USA

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Part of the book series: Systems & Control: Foundations & Applications (SCFA)

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Table of contents (37 chapters)

  1. Front Matter

    Pages i-xxxii
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  2. Large Deviations, Risk Sensitive and H ∞ Control

    1. Front Matter

      Pages N1-N1
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    2. Representations for Functional of Hilbert Space Valued Diffusions

      • Amarjit Budhiraja, Paul Dupuis
      Pages 1-20

    3. Risk-Sensitive, Minimax, and Mixed Risk-Neutral / Minimax Control of Markov Decision Processes

      • Stefano P. Coraluppi, Steven I. Marcus
      Pages 21-40

    4. Partially Observed Control Problems with Multiplicative Cost

      • Daniel Hernández-Hernández
      Pages 41-55

    5. Nonlinear Semigroups for Partially Observed Risk-Sensitive Control and Minimax Games

      • Matthew R. James
      Pages 57-73

    6. Nonlinear, Dissipative, Infinite Dimensional Systems

      • Maciej Kocan, Pierpaolo Soravia
      Pages 75-93

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

      • Hideo Nagai
      Pages 95-114

    8. Game Approach to Risk Sensitive Control for Stochastic Evolution Systems

      • Makiko Nisio
      Pages 115-134

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

      • Shuenn-Jyi Sheu, Alexander D. Wentzell
      Pages 135-150

    10. Nonlinear H ∞ Controller Design via Viscosity Supersolutions of the Isaacs Equation

      • MingQing Xiao, Tamer Başar
      Pages 151-170

  3. Partial Differential Equations and Viscosity Solutions

    1. Front Matter

      Pages N2-N2
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    2. Singularities of Semiconcave Functions in Banach Spaces

      • Paolo Albano, Piermarco Cannarsa
      Pages 171-190

    3. Invariant Sets for Controlled Degenerate Diffusions: A Viscosity Solutions Approach

      • Martino Bardi, Paola Goatin
      Pages 191-208

    4. Remarks on the Dirichlet Problem for Quasilinear Elliptic and Parabolic Equations

      • Guy Barles, Elisabeth Rouy, Panagiotis E. Souganidis
      Pages 209-222

    5. A Generalized Hamilton—Jacobi—Bellman Equation for Deterministic Optimal Control Problems

      • Leonard D. Berkovitz
      Pages 223-235

    6. Regular Solutions of Stochastic Burgers Equation

      • P. L. Chow
      Pages 237-247

    7. Piecewise-Deterministic Processes and Viscosity Solutions

      • Mark H. A. Davis, Mohammad Farid
      Pages 249-268

    8. Mathematical Approaches to the Problem of Noise-Induced Exit

      • Martin V. Day
      Pages 269-287

    9. An Approximation Scheme for Evolutive Hamilton-Jacobi Equations

      • Maurizio Falcone, Tiziana Giorgi
      Pages 289-303
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Keywords

About this book

In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi­ ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza­ tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti­ mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Editors and Affiliations

  • Department of Mathematics, North Carolina State University, Raleigh, USA

    William M. McEneaney

  • Department of Mathematics, Wayne State University, Detroit, USA

    G. George Yin

  • Department of Mathematics, University of Georgia, Athens, USA

    Qing Zhang

Bibliographic Information

  • Book Title: Stochastic Analysis, Control, Optimization and Applications

  • Book Subtitle: A Volume in Honor of W.H. Fleming

  • Editors: William M. McEneaney, G. George Yin, Qing Zhang

  • Series Title: Systems & Control: Foundations & Applications

  • DOI: https://doi.org/10.1007/978-1-4612-1784-8

  • Publisher: Birkhäuser Boston, MA

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 1999

  • Hardcover ISBN: 978-0-8176-4078-1Published: 01 November 1998

  • Softcover ISBN: 978-1-4612-7281-6Published: 13 October 2012

  • eBook ISBN: 978-1-4612-1784-8Published: 06 December 2012

  • Series ISSN: 2324-9749

  • Series E-ISSN: 2324-9757

  • Edition Number: 1

  • Number of Pages: XXXII, 637

  • Topics: Control, Robotics, Mechatronics

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