Optimization, Control, and Applications of Stochastic Systems

In Honor of Onésimo Hernández-Lerma

ISBN: 978-0-8176-8336-8 (Print) 978-0-8176-8337-5 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages i-xxvii

  2. No Access

    Book Chapter

    Pages 1-12

    On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion

  3. No Access

    Book Chapter

    Pages 13-29

    Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint

  4. No Access

    Book Chapter

    Pages 31-57

    Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition

  5. No Access

    Book Chapter

    Pages 59-76

    Approximation of Infinite Horizon Discounted Cost Markov Decision Processes

  6. No Access

    Book Chapter

    Pages 77-97

    Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs

  7. No Access

    Book Chapter

    Pages 99-109

    Continuous-Time Controlled Jump Markov Processes on the Finite Horizon

  8. No Access

    Book Chapter

    Pages 111-124

    Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions

  9. No Access

    Book Chapter

    Pages 125-150

    A Constrained Optimization Problem with Applications to Constrained MDPs

  10. No Access

    Book Chapter

    Pages 151-156

    Optimal Execution of Derivatives: A Taylor Expansion Approach

  11. No Access

    Book Chapter

    Pages 157-179

    A Survey of Some Model-Based Methods for Global Optimization

  12. No Access

    Book Chapter

    Pages 181-202

    Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes

  13. No Access

    Book Chapter

    Pages 203-223

    Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions

  14. No Access

    Book Chapter

    Pages 225-238

    Fluid Approximations to Markov Decision Processes with Local Transitions

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    Book Chapter

    Pages 239-252

    Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach

  16. No Access

    Book Chapter

    Pages 253-264

    Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models

  17. No Access

    Book Chapter

    Pages 265-282

    Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems

  18. No Access

    Book Chapter

    Pages 283-299

    A Direct Approach to the Solution of Optimal Multiple-Stopping Problems

  19. No Access

    Book Chapter

    Pages 301-309

    On the Regularity Property of Semi-Markov Processes with Borel State Spaces