Yan, Houmin
Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems
1. TCP-AQM Interaction: Periodic Optimization via Linear Programming
K. E. Avrachenkov, L. D. Finlay, V. G. Gaitsgory
2. Explicit Solutions of Linear Quadratic Differential Games
A. Bensoussan
3. Extended Generators of Markov Processes and Applications
Tomasz R. Bielecki, Ewa Frankiewicz
4. Control of Manufacturing Systems with Delayed Inspection and Limited Capacity
E. K. Boukas
5. Admission Control in the Presence of Priorities: A Sample Path Approach
Feng Chen, Vidyadhar G. Kulkarni
6. Some Bilinear Stochastic Equations with a Fractional Brownian Motion
T. E. Duncan
7. Two Types of Risk
Jerzy A. Filar, Boda Kang
8. Optimal Production Policy in a Stochastic Manufacturing System
Yongjiang Guo, Hanqin Zhang
9. A Stochastic Control Approach to Optimal Climate Policies
Alain Haurie
10. Characterization of Just in Time Sequencing via Apportionment
Joanna Józefowska, Lukasz Józefowski, Wieslaw Kubiak
11. Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion
B. Pasik-Duncan, T. E. Duncan, B. Maslowski
12. Hedging Options with Transaction Costs
Wulin Suo
13. Supply Portfolio Selection and Execution with Demand Information Updates
Haifeng Wang, Houmin Yan
14. A Regime-Switching Model for European Options
David D. Yao, Qing Zhang, Xun Yu Zhou
15. Pricing American Put Options Using Stochastic Optimization Methods
G. Yin, J. W. Wang, Q. Zhang, Y. J. Liu, R. H. Liu
16. Optimal Portfolio Application with Double-Uniform Jump Model
Zongwu Zhu, Floyd B. Hanson
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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000
- Author(s)
- Yan, Houmin
- Yin, George
- Zhang, Qing
- Publisher
- Springer
- Publication year
- 2006
- Language
- en
- Edition
- 1
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9780387338156