Ebook: Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 – May 2, 1991

This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

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This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

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This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular stochasticcontrol, queuing networks, the mathematical theory of stochastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.
Content:
Front Matter....Pages -
Estimates of cycle times in stochastic petri nets....Pages 1-20
Some results on the filtering Riccati equation with random parameters....Pages 21-29
Multi-dimensional finite-fuel singular stochastic control....Pages 30-37
Numerical methods in ergodic optimal stochastic control and application....Pages 38-58
Exponential triangular cooling schedules for simulated annealing algorithms : A case study....Pages 59-73
A numerical method for a calculus of variations problem with discontinuous integrand....Pages 74-89
Piecewise monotone filtering with small observation noise: Numerical simulations....Pages 90-107
Particle approximation for first order stochastic partial differential equations....Pages 108-120
An infinite-dimensional LP solution to control of a continuous, monotone process....Pages 121-133
An optimal control depending on the conditional density of the unobserved state....Pages 134-143
Partially observed control of Markov processes....Pages 144-150
Numerical approximation for nonlinear filtering and finite-time observers....Pages 151-158
A numerical method for stochastic singular control problems with nonadditive controls....Pages 159-175
Averaging for martingale problems and stochastic approximation....Pages 176-185
A nonlinear filter with two time scales....Pages 186-209
Bounds for the price of options....Pages 210-223
Brownian and diffusion decision processes....Pages 224-237
Kantorovich's functionals in space of measures....Pages 238-247
Partially parallel simulated annealing: Low and high temperature approach of the invariante measure....Pages 248-261
Back Matter....Pages 262-278
Martingale representation for a class of processes with independent increments and its applications....Pages -
....Pages 279-311