Most widely held works by Wendell H Fleming. Functions of several variables by Wendell H Fleming Book 75 editions published between and in 4 languages and held by 1, WorldCat member libraries worldwide For a college course at the advanced undergraduate level. Controlled Markov processes and viscosity solutions by Wendell H Fleming 29 editions published between and in English and held by 1, WorldCat member libraries worldwide "This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions.
Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dynamic programming.
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Deterministic and stochastic optimal control by Wendell H Fleming Book 29 editions published between and in English and German and held by WorldCat member libraries worldwide "The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle"--Publisher description.
Recent mathematical methods in dynamic programming : proceedings of the conference held in Rome, Italy, March , by I Capuzzo Dolcetta Book 20 editions published between and in 3 languages and held by WorldCat member libraries worldwide. Stochastic differential systems, stochastic control theory, and applications by Wendell H Fleming Book 14 editions published in in English and held by WorldCat member libraries worldwide This volume has resulted from an IMA workshop that sought to provide a mix of topics from both traditional areas of stochastic control theory and newer areas of application.
The papers represent a diversity of approaches and points of view and emphasize to different extents the underlying mathematical theory, or modeling issues or questions of computational implementation. Stochastic analysis, control, optimization, and applications : a volume in honor of W.
Stochastic Analysis, Control, Optimization and Applications
Fleming by William M McEneaney Book 6 editions published between and in English and held by WorldCat member libraries worldwide "This new, edited book focuses on various aspects of stochastic analysis, control theory, optimization and a wide range of applications. It is a book in honor of Wendell H.
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Fleming for his fundamental contributions and substantial achievements in the fields of calculus of variations, geometric measure theory, differential games, stochastic control theory and population genetics. Deterministic and Stochastic Optimal Control by Wendell H Fleming 1 edition published in in English and held by 57 WorldCat member libraries worldwide The first part of this book presents the essential topics for an introduction to deterministic optimal control theory.
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It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle. Report of the Panel on Future Directions in Control Theory : a mathematical perspective by Society for Industrial and Applied Mathematics Book 7 editions published between and in English and held by 47 WorldCat member libraries worldwide.
Controlled Markov processes and viscosity solutions by Wendell H Fleming Book 10 editions published between and in English and Italian and held by 43 WorldCat member libraries worldwide This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function.
For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman HJB equation. Typically, the value function is not smooth enough to satisfy the HJB equation in a classical sense. Viscosity solutions provide framework in which to study HJB equations, and to prove continuous dependence of solutions on problem data.
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The theory is illustrated by applications from engineering, management science, and financial economics. Wong and B. Haussmann and J. MathSciNet Google Scholar. Ishii, H. Nagai, and F. Teramoto, A singular limit on risk sensitive control and semiclassical analysis , in: Proceedings of the 7th Japan-Russia Symp. Kaise and H.
Fleming, Wendell H. (Wendell Helms) [WorldCat Identities]
Nagai, Bellman-Isaacs equations of ergodic type related to risksensitive control and their singular limits , Asymptotic Analysis, 16 , — Karatzas and X. Zhao, Bayesian adaptive portfolio optimization , in: Handbk. Jouini, J.
- Stochastic Analysis, Control, Optimization and Applications: A Volume in Honor of W.H. Fleming.
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Musiela, Editors, Cambridge Univ. Press, , — Lakner, Utility maximization with partial information , Stochastic Processes and their Applications, 56 2 , — Lakner, Optimal trading strategy for an investor: the case of partial information , Stochastic Processes and their Applications, 76 , 77— Liptser and A. Shiryaev, Statistics of Random Processes: I. General Theory , Springer-Verlag, Berlin, Merton, An intertemporal capital asset pricing model , Econometrica, 41 , — Nagai, Risk-senstive dynamic asset management with partial information , Stochastics in Finite and Infinite Dimension, a volume in honor of G.
Kallianpur, Rajput et al. Nagai and S. Peng, Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon , Annals of Applied Probability, 12 1 , — Pham and M.
Quenez, Optimal portfolio in partially observed stochastic volatility models , The Annals of Applied Probability, 11 1 , — Platen and W. Runggaldier, A benchmark approach to filtering in finance , Asia Pacific Financial Markets, 11 1 , 79— Rishel, Optimal portfolio management with partial observations and power utility function , in: Stochastic Analysis, Control, Optimization and Applications: Volume in Honour of W.