LEADER 04503nam 22006255 450 001 9910564690403321 005 20251113183451.0 010 $a3-030-98519-9 024 7 $a10.1007/978-3-030-98519-6 035 $a(MiAaPQ)EBC6961472 035 $a(Au-PeEL)EBL6961472 035 $a(CKB)21605611700041 035 $a(PPN)262173743 035 $a(OCoLC)1314328922 035 $a(DE-He213)978-3-030-98519-6 035 $a(EXLCZ)9921605611700041 100 $a20220422d2022 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aStochastic Analysis, Filtering, and Stochastic Optimization $eA Commemorative Volume to Honor Mark H. A. Davis's Contributions /$fedited by George Yin, Thaleia Zariphopoulou 205 $a1st ed. 2022. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2022. 215 $a1 online resource (483 pages) 225 1 $aMathematics and Statistics Series 300 $aIncludes index. 311 08$aPrint version: Yin, George Stochastic Analysis, Filtering, and Stochastic Optimization Cham : Springer International Publishing AG,c2022 9783030985189 327 $aControl 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). 330 $aThis volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control. . 410 0$aMathematics and Statistics Series 606 $aStochastic analysis 606 $aStochastic processes 606 $aMathematical optimization 606 $aStochastic Analysis 606 $aStochastic Systems and Control 606 $aOptimization 615 0$aStochastic analysis. 615 0$aStochastic processes. 615 0$aMathematical optimization. 615 14$aStochastic Analysis. 615 24$aStochastic Systems and Control. 615 24$aOptimization. 676 $a519.22 676 $a519.22 702 $aYin$b George$f1954- 702 $aZariphopoulou$b Thaleia$f1962- 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910564690403321 996 $aStochastic analysis, filtering, and stochastic optimization$92965157 997 $aUNINA