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An ergodic impulse control model with applications

Melas, Dimitris and Zervos, Mihail (2010) An ergodic impulse control model with applications. In: Piunovskiy, Alexey, (ed.) Modern Trends in Controlled Stochastic Processes: Theory and Application. Luniver Press, London, UK, pp. 161-181. ISBN 9781905986309

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Abstract

World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.

Item Type: Book Section
Official URL: http://www.luniver.com/
Additional Information: © 2010 Luniver Press
Library of Congress subject classification: Q Science > QA Mathematics
Sets: Departments > Mathematics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 11 May 2011 15:42
URL: http://eprints.lse.ac.uk/36109/

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