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Numerical Methods for Stochastic Control Problems in Continuous Time
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump …
A Probabilistic Theory of Pattern Recognition
Pattern recognition presents one of the most significant challenges for scientists and engineers, and many different approaches have been proposed. The aim of this book is to …
Conjugate Direction Methods in Optimization
Shortly after the end of World War II high-speed digital computing machines were being developed. It was clear that the mathematical aspects of com putation needed to be …
Fundamentals of Stochastic Filtering
Many aspects of phenomena critical to our lives can not be measured directly. Fortunately models of these phenomena, together with more limited obs- vations frequently allow us to …
A Probabilistic Theory of Pattern Recognition
Pattern recognition presents one of the most significant challenges for scientists and engineers, and many different approaches have been proposed. The aim of this book is to …
Stochastic Models in Reliability
This book provides a comprehensive up-to-date presentation of some of the classical areas of reliability, based on a more advanced probabilistic framework using the modern theory …
Controlled Markov Processes and Viscosity Solutions
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for …
Stochastic Control of Hereditary Systems and Applications
ThisresearchmonographdevelopstheHamilton-Jacobi-Bellman(HJB)theory viathedynamicprogrammingprincipleforaclassofoptimalcontrolproblems for stochastic hereditary di?erential …
Applied Probability and Queues
"This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory...The second edition at hand is a …
Stochastic Control of Hereditary Systems and Applications
ThisresearchmonographdevelopstheHamilton-Jacobi-Bellman(HJB)theory viathedynamicprogrammingprincipleforaclassofoptimalcontrolproblems for stochastic hereditary di?erential …
Stochastic Simulation: Algorithms and Analysis
Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains …
Stochastic Portfolio Theory
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in …