Stochastic Systems: Modeling, Identification and Optimization II

Inhaltsverzeichnis

• The structure of jump processes and related control problems.
• Two-person nonzero sum stochastic differential games with stopping time.
• A new approach to multi-stage stochastic linear programs.
• General necessary conditions for optimal control of stochastic systems.
• Regenerative Markov decision models.
• Discrete approximations for stochastic control problems with control acting continuously and impulsively.
• A martingale approach to queues.
• Discretizations of multistage stochastic programming problems.
• Controls optimal from time t onward and dynamic programming for systems of controlled jump processes.
• Some optimal control problems for queueing systems.
• Nonanticipativity and L 1-martingales in stochastic optimization problems.
• Computation of the eigenprojection of a nonnegative matrix at its spectral radius.
• Monotone optimal policies for Markov decision processes.
• On dynamic programming recursions for multiplicative Markov decision chains.
• Necessary and sufficient conditions for optimal solutions to a survivor search problem.
• Density functions for random matrix equations.
• A laurent series for the resolvent of a strongly continuous stochastic semi-group.