Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

Edited by Houmin Yan, George Yin and Qing Zhang

in International Series in Operations Research and Management Science from Springer, currently edited by Camille C. Price, Joe Zhu and Frederick S. Hillier

Date: 2006
ISBN: 978-0-387-33815-6
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Chapters in this book:

Ch Chapter 1 TCP-AQM Interaction: Periodic Optimization via Linear Programming

K. E. Avrachenkov, L. D. Finlay and V. G. Gaitsgory

Ch Chapter 10 Characterization of Just in Time Sequencing via Apportionment

Joanna Józefowska, Łukasz Józefowski and Wiesław Kubiak

Ch Chapter 11 Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion

B. Pasik-Duncan, T. E. Duncan and B. Maslowski

Ch Chapter 12 Hedging Options with Transaction Costs

Wulin Suo

Ch Chapter 13 Supply Portfolio Selection and Execution with Demand Information Updates

Haifeng Wang and Houmin Yan

Ch Chapter 14 A Regime-Switching Model for European Options

David D. Yao, Qing Zhang and Xun Yu Zhou

Ch Chapter 15 Pricing American Put Options Using Stochastic Optimization Methods

G. Yin, J. W. Wang, Q. Zhang, Y. J. Liu and R. H. Liu

Ch Chapter 16 Optimal Portfolio Application with Double-Uniform Jump Model

Zongwu Zhu and Floyd B. Hanson

Ch Chapter 2 Explicit Solutions of Linear Quadratic Differential Games

A. Bensoussan

Ch Chapter 3 Extended Generators of Markov Processes and Applications

Tomasz R. Bielecki and Ewa Frankiewicz

Ch Chapter 4 Control of Manufacturing Systems with Delayed Inspection and Limited Capacity

E. K. Boukas

Ch Chapter 5 Admission Control in the Presence of Priorities: A Sample Path Approach

Feng Chen and Vidyadhar G. Kulkarni

Ch Chapter 6 Some Bilinear Stochastic Equations with a Fractional Brownian Motion

T. E. Duncan

Ch Chapter 7 Two Types of Risk

Jerzy A. Filar and Boda Kang

Ch Chapter 8 Optimal Production Policy in a Stochastic Manufacturing System

Yongjiang Guo and Hanqin Zhang

Ch Chapter 9 A Stochastic Control Approach to Optimal Climate Policies

Alain Haurie

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DOI: 10.1007/0-387-33815-2

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