Overview
- Editors:
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William M. McEneaney
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Department of Mathematics, North Carolina State University, Raleigh, USA
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G. George Yin
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Department of Mathematics, Wayne State University, Detroit, USA
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Qing Zhang
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Department of Mathematics, University of Georgia, Athens, USA
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About this book
In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
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Table of contents (37 chapters)
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Partial Differential Equations and Viscosity Solutions
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- Carl Mueller, Etienne Pardoux
Pages 325-338
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Stochastic Control, Filtering and Parameter Estimation
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- Rami Atar, Frederi Viens, Ofer Zeitouni
Pages 339-352
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- H. T. Banks, B. G. Fitzpatrick, Laura K. Potter, Yue Zhang
Pages 353-371
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- Robert J. Elliott, Vikram Krishnamurthy
Pages 391-408
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- Jose-Luis Menaldi, Maurice Robin
Pages 439-456
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- C. J. Wypasek, J. V. Butera, B. G. Fitzpatrick
Pages 505-520
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Mathematical Finance and Other Applications
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- Alain Bensoussan, Hugues Julien
Pages 521-540
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- Piyush Gupta, P. R. Kumar
Pages 547-566
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- James E. Hodder, Thaleia Zariphopoulou
Pages 567-584
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- Chi-Fu Huang, Michael Taksar, Steven H. Zhu
Pages 585-604
Editors and Affiliations
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Department of Mathematics, North Carolina State University, Raleigh, USA
William M. McEneaney
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Department of Mathematics, Wayne State University, Detroit, USA
G. George Yin
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Department of Mathematics, University of Georgia, Athens, USA
Qing Zhang