Ebook: Optimization, Control, and Applications of Stochastic Systems: In Honor of Onésimo Hernández-Lerma

This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields.

Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

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Compiled in honor of On?simo Hern?ndez-Lerma, this volume offers a broad presentation of the main concepts, techniques, and methodologies in the fields of optimization and control of stochastic systems. At the same time, the book provides an overview of their wide-ranging applications and theoretical developments. These topics include various aspects of dynamic programming, discounted and average optimality criteria for discrete- and continuous-time control processes, approximation algorithms, optimal stopping, and games.

The work comprises 18 carefully selected papers written by experts in their respective fields, and explores five major themes:

* discrete-time Markov control processes;
* several optimality criteria;
* applications in inventory systems and finance;
* stochastic optimal control problems for diffusion;
* optimization.

This book will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and its applications.

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Compiled in honor of On?simo Hern?ndez-Lerma, this volume offers a broad presentation of the main concepts, techniques, and methodologies in the fields of optimization and control of stochastic systems. At the same time, the book provides an overview of their wide-ranging applications and theoretical developments. These topics include various aspects of dynamic programming, discounted and average optimality criteria for discrete- and continuous-time control processes, approximation algorithms, optimal stopping, and games.

The work comprises 18 carefully selected papers written by experts in their respective fields, and explores five major themes:

* discrete-time Markov control processes;
* several optimality criteria;
* applications in inventory systems and finance;
* stochastic optimal control problems for diffusion;
* optimization.

This book will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and its applications.

Content:
Front Matter....Pages i-xxvii
On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion....Pages 1-12
Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint....Pages 13-29
Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition....Pages 31-57
Approximation of Infinite Horizon Discounted Cost Markov Decision Processes....Pages 59-76
Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs....Pages 77-97
Continuous-Time Controlled Jump Markov Processes on the Finite Horizon....Pages 99-109
Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions....Pages 111-124
A Constrained Optimization Problem with Applications to Constrained MDPs....Pages 125-150
Optimal Execution of Derivatives: A Taylor Expansion Approach....Pages 151-156
A Survey of Some Model-Based Methods for Global Optimization....Pages 157-179
Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes....Pages 181-202
Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions....Pages 203-223
Fluid Approximations to Markov Decision Processes with Local Transitions....Pages 225-238
Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach....Pages 239-252
Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models....Pages 253-264
Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems....Pages 265-282
A Direct Approach to the Solution of Optimal Multiple-Stopping Problems....Pages 283-299
On the Regularity Property of Semi-Markov Processes with Borel State Spaces....Pages 301-309

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Compiled in honor of On?simo Hern?ndez-Lerma, this volume offers a broad presentation of the main concepts, techniques, and methodologies in the fields of optimization and control of stochastic systems. At the same time, the book provides an overview of their wide-ranging applications and theoretical developments. These topics include various aspects of dynamic programming, discounted and average optimality criteria for discrete- and continuous-time control processes, approximation algorithms, optimal stopping, and games.

The work comprises 18 carefully selected papers written by experts in their respective fields, and explores five major themes:

* discrete-time Markov control processes;
* several optimality criteria;
* applications in inventory systems and finance;
* stochastic optimal control problems for diffusion;
* optimization.

This book will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and its applications.

Content:
Front Matter....Pages i-xxvii
On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion....Pages 1-12
Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint....Pages 13-29
Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition....Pages 31-57
Approximation of Infinite Horizon Discounted Cost Markov Decision Processes....Pages 59-76
Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs....Pages 77-97
Continuous-Time Controlled Jump Markov Processes on the Finite Horizon....Pages 99-109
Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions....Pages 111-124
A Constrained Optimization Problem with Applications to Constrained MDPs....Pages 125-150
Optimal Execution of Derivatives: A Taylor Expansion Approach....Pages 151-156
A Survey of Some Model-Based Methods for Global Optimization....Pages 157-179
Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes....Pages 181-202
Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions....Pages 203-223
Fluid Approximations to Markov Decision Processes with Local Transitions....Pages 225-238
Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach....Pages 239-252
Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models....Pages 253-264
Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems....Pages 265-282
A Direct Approach to the Solution of Optimal Multiple-Stopping Problems....Pages 283-299
On the Regularity Property of Semi-Markov Processes with Borel State Spaces....Pages 301-309
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