Modeling, Stochastic Control, Optimization, and Applications

图书简介

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.

Uniform Polynomial Rates of Convergence for A Class of Levy-DrivenControlled SDEs Arising in Multiclass Many-Server Queues.-Nudged Particle Filters in Multiscale Chaotic Systems.-Postponing Collapse: Ergodic Control with a Probabilistic Constraint.-Resource Sharing Networks and Brownian Control Problems.-American Option Model and Negative Fichera Function on DegenerateBoundary.-Continuous-Time Markov Chain and Regime Switching Approximations.-Numerical Approximations for Discounted Continuous TimeMarkov Decision Processes.-Some Linear-Quadratic Stochastic Dierential Games Driven byState Dependent Gauss-Volterra Processes.-Correlated Equilibria for Infinite Horizon Nonzero-Sum StochasticDifferential Games.-Lattice Dynamical Systems in the Biological Sciences.-Balancing Prevention and Suppression of Forest Fires with FuelManagement as a Stock.-A Free-Model Characterization of the Asymptotic Certainty Equivalentby the Arrow-Pratt Index.-Binary Mean Field Stochastic Games: Stationary Equilibriaand Comparative Statics Queues.-Equivalence of Fluid Models for Gt=GI=N + GI Queues.-Stochastic HJB Equations and Regular Singular Points.-Information Diusion in Social Networks: FriendshipParadox based Models and Statistical Inference.-Portfolio Optimization Using Regime-Switching Stochastic InterestRate and Stochastic Volatility Models.-On Optimal Stopping and Impulse Control with Constraint.-Linear-Quadratic McKean-Vlasov Stochastic Differential Games.-Stochastic Multigroup Epidemic Models: Duration and Final Size.-H2 Dynamic Output Feedback Control for Hidden Markov JumpLinear Systems.-Time-Inconsistent Optimal Control Problems and Related Issues.-Regime-Switching Jump Diusions with Non-Lipschitz Coecients andCountably Many Switching States: Existence and Uniqueness,Feller, and Strong Feller Properties.

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Modeling, Stochastic Control, Optimization, and Applications（The IMA Volumes in Mathematics and its Applications） 建模、随机控制、优化与应用 概率论

Modeling, Stochastic Control, Optimization, and Applications（The IMA Volumes in Mathematics and its Applications）

建模、随机控制、优化与应用
概率论