Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems: A Volume in Honor of Suresh Sethi

✍ Scribed by K. E. Avrachenkov, L. D. Finlay (auth.), Houmin Yan, George Yin, Qing Zhang (eds.)

• Publisher: Springer US
• Year: 2006
• Tongue: English
• Leaves: 397
• Series: International Series in Operations Research & Management Science 94
• Edition: 1
• Category: Library

✦ Synopsis

This edited volume contains sixteen research articles and presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. It assembles experts from the fields of operations research, control theory and optimization, stochastic analysis, and financial engineering to review and substantially update the recent progress in these fields. Another distinct characteristic of the book is that all papers are motivated by applications in which optimization, control, and stochastics are inseparable. The book will be a timely addition to the literature and will be of interest to people working in the aforementioned fields.

Most importantly, this volume is dedicated to Professor Suresh Sethi on the occasion of his 60^th birthday. In view of his fundamental contributions, his distinguished career, his substantial achievements, his influence on the areas of control theory and applications, operations research, and management science, and his dedication to the scientific community, a number of leading experts in the fields of optimization, control, and operation management, have contributed to this volume in honor of him.

✦ Table of Contents

Front Matter....Pages i-xlvi
TCP-AQM Interaction: Periodic Optimization via Linear Programming....Pages 1-17
Explicit Solutions of Linear Quadratic Differential Games....Pages 19-34
Extended Generators of Markov Processes and Applications....Pages 35-54
Control of Manufacturing Systems with Delayed Inspection and Limited Capacity....Pages 55-71
Admission Control in the Presence of Priorities: A Sample Path Approach....Pages 73-95
Some Bilinear Stochastic Equations with a Fractional Brownian Motion....Pages 97-108
Two Types of Risk....Pages 109-140
Optimal Production Policy in a Stochastic Manufacturing System....Pages 141-157
A Stochastic Control Approach to Optimal Climate Policies....Pages 159-173
Characterization of Just in Time Sequencing via Apportionment....Pages 175-200
Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion....Pages 201-221
Hedging Options with Transaction Costs....Pages 223-247
Supply Portfolio Selection and Execution with Demand Information Updates....Pages 249-279
A Regime-Switching Model for European Options....Pages 281-300
Pricing American Put Options Using Stochastic Optimization Methods....Pages 301-329
Optimal Portfolio Application with Double-Uniform Jump Model....Pages 331-358
Back Matter....Pages 359-360

✦ Subjects

Production/Logistics; Engineering Economics, Organization, Logistics, Marketing; Operations Research/Decision Theory; Industrial and Production Engineering; Management