04503nam 22006255 450 991056469040332120251113183451.03-030-98519-910.1007/978-3-030-98519-6(MiAaPQ)EBC6961472(Au-PeEL)EBL6961472(CKB)21605611700041(PPN)262173743(OCoLC)1314328922(DE-He213)978-3-030-98519-6(EXLCZ)992160561170004120220422d2022 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierStochastic Analysis, Filtering, and Stochastic Optimization A Commemorative Volume to Honor Mark H. A. Davis's Contributions /edited by George Yin, Thaleia Zariphopoulou1st ed. 2022.Cham :Springer International Publishing :Imprint: Springer,2022.1 online resource (483 pages)Mathematics and Statistics SeriesIncludes index.Print version: Yin, George Stochastic Analysis, Filtering, and Stochastic Optimization Cham : Springer International Publishing AG,c2022 9783030985189 Control in Hilbert Space and First-Order Mean Field Type Problem (A. Bensoussan) -- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (R. Bielecki) -- Optimal Control of Piecewise Deterministic Markov Processes (F. Dufour) -- Pathwise Approximations for the Solution of the Non-Linear Filtering Problem (D. Crisan) -- Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution (H. Pham) -- Estimating the Matthew Effects: Switching Pareto Dynamics (J. Elliott) -- Optimal Couplings on Wiener Space and An Extension of Talagrand's Transport Inequality (F¨ollmer) -- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation (Yu Zhou) -- N-Player and Mean-Field Games in Ito-Diffusion Markets with Competitive or Homophilous Interaction (T. Zariphopoulou) -- A Variational Characterization of Langevin-Smoluchowski Diffusions (H. Xing) -- Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality (B. Tschiderer) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I (J. Swanson) -- Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II (J. Swanson) -- Maximally Distributed Random Fields under Sublinear Expectation (S. Peng) -- Pairs Trading under Geometric Brownian Motion Models (Q. Zhang) -- Equilibrium Model of Limit Order Books: A Mean-Field Game View (J. Ma) -- Bounded Regret for Finitely Parameterized Multi-Armed Bandits (P. Varaiya) -- Developing the Path Signature Methodology and Its Application to Landmark-Based Human Action Recognition (T. Lyons).This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control. .Mathematics and Statistics SeriesStochastic analysisStochastic processesMathematical optimizationStochastic AnalysisStochastic Systems and ControlOptimizationStochastic analysis.Stochastic processes.Mathematical optimization.Stochastic Analysis.Stochastic Systems and Control.Optimization.519.22519.22Yin George1954-Zariphopoulou Thaleia1962-MiAaPQMiAaPQMiAaPQBOOK9910564690403321Stochastic analysis, filtering, and stochastic optimization2965157UNINA