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Adaptive algorithms and stochastic approximations / Albert Benveniste, Michel Métivier, Pierre Priouret ; translated from the French by Stephen S. Wilson
| Adaptive algorithms and stochastic approximations / Albert Benveniste, Michel Métivier, Pierre Priouret ; translated from the French by Stephen S. Wilson |
| Autore | Benveniste, Albert |
| Pubbl/distr/stampa | Berlin : Springer-Verlag, c1990 |
| Descrizione fisica | xi, 365 p. : ill. ; 24 cm. |
| Disciplina | 519.544 |
| Altri autori (Persone) |
Métivier, Michelauthor
Priouret, Pierreauthor |
| Collana | Applications of mathematics, 0172-4568 ; 22 |
| Soggetto topico |
Adaptive control systems
Stochastic approximation System identification |
| ISBN | 0387528946 |
| Classificazione |
AMS 60G35
AMS 62L20 AMS 93C40 AMS 93E12 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000644469707536 |
Benveniste, Albert
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| Berlin : Springer-Verlag, c1990 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Adaptive statistical procedures and related topics : proceedings of a symposium in honor of Herbert Robbins, June 7-11, 1985, Brookhaven National Laboratory, Upton, New York / / edited by John Van Ryzin [[electronic resource]]
| Adaptive statistical procedures and related topics : proceedings of a symposium in honor of Herbert Robbins, June 7-11, 1985, Brookhaven National Laboratory, Upton, New York / / edited by John Van Ryzin [[electronic resource]] |
| Pubbl/distr/stampa | Hayward, Calif., : Institute of Mathematical Statistics, c1986 |
| Descrizione fisica | 1 online resource (ix, 476 p. ) |
| Disciplina | 519.5 |
| Altri autori (Persone) |
RobbinsHerbert
Van RyzinJohn |
| Collana |
Lecture notes-monograph series Adaptive statistical procedures and related topics
Lecture notes-monograph series |
| Soggetto topico |
Sequential analysis
Bayesian statistical decision theory Stochastic approximation Mathematical statistics Probabilities Sequential analysis - Congresses Bayesian statistical decision theory - Congresses Stochastic approximation - Congresses Mathematical statistics - Congresses Probabilities - Congresses Mathematics Physical Sciences & Mathematics Mathematical Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910482880603321 |
| Hayward, Calif., : Institute of Mathematical Statistics, c1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Adaptive statistical procedures and related topics : proceedings of a symposium in honor of Herbert Robbins, June 7-11, 1985, Brookhaven National Laboratory, Upton, New York / / edited by John Van Ryzin [[electronic resource]]
| Adaptive statistical procedures and related topics : proceedings of a symposium in honor of Herbert Robbins, June 7-11, 1985, Brookhaven National Laboratory, Upton, New York / / edited by John Van Ryzin [[electronic resource]] |
| Pubbl/distr/stampa | Hayward, Calif., : Institute of Mathematical Statistics, c1986 |
| Descrizione fisica | 1 online resource (ix, 476 p. ) |
| Disciplina | 519.5 |
| Altri autori (Persone) |
RobbinsHerbert
Van RyzinJohn |
| Collana |
Lecture notes-monograph series Adaptive statistical procedures and related topics
Lecture notes-monograph series |
| Soggetto topico |
Sequential analysis
Bayesian statistical decision theory Stochastic approximation Mathematical statistics Probabilities Sequential analysis - Congresses Bayesian statistical decision theory - Congresses Stochastic approximation - Congresses Mathematical statistics - Congresses Probabilities - Congresses Mathematics Physical Sciences & Mathematics Mathematical Statistics |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996210819903316 |
| Hayward, Calif., : Institute of Mathematical Statistics, c1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910464447303321 |
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Silvestrov Dmitrii S.
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| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910788816603321 |
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Silvestrov Dmitrii S.
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| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910822000303321 |
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Silvestrov Dmitrii S.
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| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910463858603321 |
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Silvestrov Dmitrii S
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| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910787756203321 |
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Silvestrov Dmitrii S
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| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910814311003321 |
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Silvestrov Dmitrii S
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| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Quasi-stochastic approximation and off-policy reinforcement learning : preprint / / Andrey Bernstein [and five others]
| Quasi-stochastic approximation and off-policy reinforcement learning : preprint / / Andrey Bernstein [and five others] |
| Autore | Bernstein Andrey |
| Pubbl/distr/stampa | Golden, CO : , : National Renewable Energy Laboratory, , 2019 |
| Descrizione fisica | 1 online resource (8 pages) : color illustrations |
| Collana | NREL/CP |
| Soggetto topico |
Reinforcement learning
Stochastic approximation |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Quasi-stochastic approximation and off-policy reinforcement learning |
| Record Nr. | UNINA-9910713758203321 |
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Bernstein Andrey
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| Golden, CO : , : National Renewable Energy Laboratory, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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