Analysis and Optimization of Differential Systems

Analysis and Optimization of Differential Systems PDF Author: Viorel Barbu
Publisher: Springer
ISBN: 0387356908
Category : Mathematics
Languages : en
Pages : 449

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Book Description
Analysis and Optimization of Differential Systems focuses on the qualitative aspects of deterministic and stochastic differential equations. Areas covered include: Ordinary and partial differential systems; Optimal control of deterministic and stochastic evolution equations; Control theory of Partial Differential Equations (PDE's); Optimization methods in PDE's with numerous applications to mechanics and physics; Inverse problems; Stability theory; Abstract optimization problems; Calculus of variations; Numerical treatment of solutions to differential equations and related optimization problems. These research fields are under very active development and the present volume should be of interest to students and researchers working in applied mathematics or in system engineering. This volume contains selected contributions presented during the International Working Conference on Analysis and Optimization of Differential Systems, which was sponsored by the International Federation for Information Processing (IFIP) and held in Constanta, Romania in September 2002. Among the aims of this conference was the creation of new international contacts and collaborations, taking advantage of the new developments in Eastern Europe, particularly in Romania. The conference benefited from the support of the European Union via the EURROMMAT program.

Analysis and Optimization of Differential Systems

Analysis and Optimization of Differential Systems PDF Author: Viorel Barbu
Publisher: Springer
ISBN: 0387356908
Category : Mathematics
Languages : en
Pages : 449

Get Book Here

Book Description
Analysis and Optimization of Differential Systems focuses on the qualitative aspects of deterministic and stochastic differential equations. Areas covered include: Ordinary and partial differential systems; Optimal control of deterministic and stochastic evolution equations; Control theory of Partial Differential Equations (PDE's); Optimization methods in PDE's with numerous applications to mechanics and physics; Inverse problems; Stability theory; Abstract optimization problems; Calculus of variations; Numerical treatment of solutions to differential equations and related optimization problems. These research fields are under very active development and the present volume should be of interest to students and researchers working in applied mathematics or in system engineering. This volume contains selected contributions presented during the International Working Conference on Analysis and Optimization of Differential Systems, which was sponsored by the International Federation for Information Processing (IFIP) and held in Constanta, Romania in September 2002. Among the aims of this conference was the creation of new international contacts and collaborations, taking advantage of the new developments in Eastern Europe, particularly in Romania. The conference benefited from the support of the European Union via the EURROMMAT program.

Mathematical Methods in Robust Control of Linear Stochastic Systems

Mathematical Methods in Robust Control of Linear Stochastic Systems PDF Author: Vasile Dragan
Publisher: Springer Science & Business Media
ISBN: 0387359249
Category : Science
Languages : en
Pages : 320

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Book Description
The book covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations. It includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations. Systematic presentation leads the reader in a natural way to the original results. New theoretical results accompanied by detailed numerical examples, and the book proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.

Matrix Riccati Equations in Control and Systems Theory

Matrix Riccati Equations in Control and Systems Theory PDF Author: Hisham Abou-Kandil
Publisher: Birkhäuser
ISBN: 3034880812
Category : Science
Languages : en
Pages : 584

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Book Description
The authors present the theory of symmetric (Hermitian) matrix Riccati equations and contribute to the development of the theory of non-symmetric Riccati equations as well as to certain classes of coupled and generalized Riccati equations occurring in differential games and stochastic control. The volume offers a complete treatment of generalized and coupled Riccati equations. It deals with differential, discrete-time, algebraic or periodic symmetric and non-symmetric equations, with special emphasis on those equations appearing in control and systems theory. Extensions to Riccati theory allow to tackle robust control problems in a unified approach. The book makes available classical and recent results to engineers and mathematicians alike. It is accessible to graduate students in mathematics, applied mathematics, control engineering, physics or economics. Researchers working in any of the fields where Riccati equations are used can find the main results with the proper mathematical background.

Positive Systems

Positive Systems PDF Author: Rafael Bru
Publisher: Springer
ISBN: 3642028942
Category : Technology & Engineering
Languages : en
Pages : 385

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Book Description
This volume contains the proceedings of the "Third Multidisciplinary Symposium on Positive Systems: Theory and Applications (POSTA09)" held in Valencia, Spain, September 2–4, 2009. This is the only world congress whose main topic is focused on this field.

Applied Stochastic Differential Equations

Applied Stochastic Differential Equations PDF Author: Simo Särkkä
Publisher: Cambridge University Press
ISBN: 1316510085
Category : Business & Economics
Languages : en
Pages : 327

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Book Description
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Rational Matrix Equations in Stochastic Control

Rational Matrix Equations in Stochastic Control PDF Author: Tobias Damm
Publisher: Springer Science & Business Media
ISBN: 9783540205166
Category : Mathematics
Languages : en
Pages : 228

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Book Description
This book is the first comprehensive treatment of rational matrix equations in stochastic systems, including various aspects of the field, previously unpublished results and explicit examples. Topics include modelling with stochastic differential equations, stochastic stability, reformulation of stochastic control problems, analysis of the rational matrix equation and numerical solutions. Primarily a survey in character, this monograph is intended for researchers, graduate students and engineers in control theory and applied linear algebra.

Mathematical Reviews

Mathematical Reviews PDF Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1884

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Book Description


An Introduction to Stochastic Differential Equations

An Introduction to Stochastic Differential Equations PDF Author: Lawrence C. Evans
Publisher: American Mathematical Soc.
ISBN: 1470410540
Category : Mathematics
Languages : en
Pages : 161

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Book Description
These notes provide a concise introduction to stochastic differential equations and their application to the study of financial markets and as a basis for modeling diverse physical phenomena. They are accessible to non-specialists and make a valuable addition to the collection of texts on the topic. --Srinivasa Varadhan, New York University This is a handy and very useful text for studying stochastic differential equations. There is enough mathematical detail so that the reader can benefit from this introduction with only a basic background in mathematical analysis and probability. --George Papanicolaou, Stanford University This book covers the most important elementary facts regarding stochastic differential equations; it also describes some of the applications to partial differential equations, optimal stopping, and options pricing. The book's style is intuitive rather than formal, and emphasis is made on clarity. This book will be very helpful to starting graduate students and strong undergraduates as well as to others who want to gain knowledge of stochastic differential equations. I recommend this book enthusiastically. --Alexander Lipton, Mathematical Finance Executive, Bank of America Merrill Lynch This short book provides a quick, but very readable introduction to stochastic differential equations, that is, to differential equations subject to additive ``white noise'' and related random disturbances. The exposition is concise and strongly focused upon the interplay between probabilistic intuition and mathematical rigor. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text also includes applications to partial differential equations, optimal stopping problems and options pricing. This book can be used as a text for senior undergraduates or beginning graduate students in mathematics, applied mathematics, physics, financial mathematics, etc., who want to learn the basics of stochastic differential equations. The reader is assumed to be fairly familiar with measure theoretic mathematical analysis, but is not assumed to have any particular knowledge of probability theory (which is rapidly developed in Chapter 2 of the book).

Mathematical Reports

Mathematical Reports PDF Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 494

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Book Description


Backward Stochastic Differential Equations

Backward Stochastic Differential Equations PDF Author: N El Karoui
Publisher: CRC Press
ISBN: 9780582307339
Category : Mathematics
Languages : en
Pages : 236

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Book Description
This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.