Stochastic Analysis, Filtering, and Stochastic Optimization

Edited by George Yin () and Thaleia Zariphopoulou ()

in Springer Books from Springer

Date: 2022
ISBN: 978-3-030-98519-6
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Chapters in this book:

Control in Hilbert Space and First-Order Mean Field Type Problem

Alain Bensoussan, Hang Cheung and Sheung Chi Phillip Yam

Correction to: Stochastic Analysis, Filtering, and Stochastic Optimization

George Yin and Thaleia Zariphopoulou

Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case

Tomasz R. Bielecki, Tao Chen and Igor Cialenco

Optimal Control of Piecewise Deterministic Markov Processes

O. L. V. Costa and F. Dufour

Pathwise Approximations for the Solution of the Non-Linear Filtering Problem

Dan Crisan, Alexander Lobbe and Salvador Ortiz-Latorre

Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution

Carmine de Franco, Johann Nicolle and Huyên Pham

Estimating the Matthew Effects: Switching Pareto Dynamics

Robert J. Elliott

Optimal Couplings on Wiener Space and An Extension of Talagrand’s Transport Inequality

Hans Föllmer

Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation

Xue Dong He and Xun Yu Zhou

N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction

Ruimeng Hu and Thaleia Zariphopoulou

A Variational Characterization of Langevin-Smoluchowski Diffusions

Ioannis Karatzas and Bertram Tschiderer

Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality

Constantinos Kardaras, Hao Xing and Gordan Žitković

Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I

Thomas G. Kurtz and Jason Swanson

Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II

Thomas G. Kurtz and Jason Swanson

Maximally Distributed Random Fields under Sublinear Expectation

Xinpeng Li and Shige Peng

Pairs Trading under Geometric Brownian Motion Models

Phong Luu, Jingzhi Tie and Qing Zhang

Equilibrium Model of Limit Order Books: A Mean-Field Game View

Jin Ma and Eunjung Noh

Bounded Regret for Finitely Parameterized Multi-Armed Bandits

Kishan Panaganti, Dileep Kalathil and Pravin Varaiya

Developing the Path Signature Methodology and Its Application to Landmark- Based Human Action Recognition

Weixin Yang, Terry Lyons, Hao Ni, Cordelia Schmid and Lianwen Jin

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DOI: 10.1007/978-3-030-98519-6

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