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Modeling, Stochastic Control, Optimization, and Applications

  • Book
  • © 2019

Overview

Editors:
  1. 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

  2. Qing Zhang

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

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    You can also search for this editor in PubMed   Google Scholar

  • Collection of recent works done by leading experts in the fields of stochastic control, optimization, and related fields
  • Presents some of the highlights of the workshops, and collect papers covering a broad range of topics
  • Brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science

Part of the book series: The IMA Volumes in Mathematics and its Applications (IMA, volume 164)

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Table of contents (23 chapters)

  1. Front Matter

    Pages i-x
    Download chapter PDF

  2. Uniform Polynomial Rates of Convergence for A Class of Lévy-Driven Controlled SDEs Arising in Multiclass Many-Server Queues

    • Ari Arapostathis, Hassan Hmedi, Guodong Pang, Nikola Sandrić
    Pages 1-20

  3. Nudged Particle Filters in Multiscale Chaotic Systems with Correlated Sensor Noise

    • Ryne Beeson, N. Sri Namachchivaya
    Pages 21-55

  4. Postponing Collapse: Ergodic Control with a Probabilistic Constraint

    • Vivek S. Borkar, Jerzy A. Filar
    Pages 57-65

  5. Resource Sharing Networks and Brownian Control Problems

    • Amarjit Budhiraja, Michael Conroy
    Pages 67-93

  6. American Option Model and Negative Fichera Function on Degenerate Boundary

    • Xiaoshan Chen, Zhuo Jin, Qingshuo Song
    Pages 95-113

  7. Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing

    • Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
    Pages 115-146

  8. Numerical Approximations for Discounted Continuous Time Markov Decision Processes

    • François Dufour, Tomás Prieto-Rumeau
    Pages 147-171

  9. Some Linear-Quadratic Stochastic Differential Games Driven by State Dependent Gauss-Volterra Processes

    • Tyrone E. Duncan, Bozenna Pasik-Duncan
    Pages 173-179

  10. Correlated Equilibria for Infinite Horizon Nonzero-Sum Stochastic Differential Games

    • Beatris A. Escobedo-Trujillo, Héctor Jasso-Fuentes
    Pages 181-200

  11. Lattice Dynamical Systems in the Biological Sciences

    • Xiaoying Han, Peter E. Kloeden
    Pages 201-233

  12. Balancing Prevention and Suppression of Forest Fires with Fuel Management as a Stock

    • Betsy Heines, Suzanne Lenhart, Charles Sims
    Pages 235-259

  13. A Free-Model Characterization of the Asymptotic Certainty Equivalent by the Arrow-Pratt Index

    • Daniel Hernández-Hernández, Erick Treviño-Aguilar
    Pages 261-281

  14. Binary Mean Field Stochastic Games: Stationary Equilibria and Comparative Statics

    • Minyi Huang, Yan Ma
    Pages 283-313

  15. Equivalence of Fluid Models for Gt/GI/N +GI Queues

    • Weining Kang, Guodong Pang
    Pages 315-349

  16. Stochastic HJB Equations and Regular Singular Points∗

    • Arthur J Krener
    Pages 351-368

  17. Information Diffusion in Social Networks: Friendship Paradox Based Models and Statistical Inference

    • Vikram Krishnamurthy, Buddhika Nettasinghe
    Pages 369-406

  18. Portfolio Optimization Using Regime-Switching Stochastic Interest Rate and Stochastic Volatility Models

    • R. H. Liu, D. Ren
    Pages 407-425

  19. On Optimal Stopping and Impulse Control with Constraint

    • J. L. Menaldi, M Robin
    Pages 427-450

  20. Linear-Quadratic McKean-Vlasov Stochastic Differential Games

    • Enzo Miller, Huyên Pham
    Pages 451-481
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Keywords

About this book

This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.


Editors and Affiliations

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

    George Yin

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

    Qing Zhang

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