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Nonlinear Expectations and Stochastic Calculus under Uncertainty
This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations. It provides a gentle coverage of the theory of nonlinear expectations and related stochastic analysis. Many notions and results, for example, G-normal distribution, G-Brownian motion, G-Martingale representation theorem, and related stochastic calculus are first introduced or obtained by the author. This book is based on Shige Peng’s lecture notes for a series of lectures given at summer schools and universities worldwide. It starts with basic definitions of nonlinear expectations and their relation to coheren...
Industrial and Applied Mathematics in China
This new volume introduces readers to the current topics of industrial and applied mathematics in China, with applications to material science, information science, mathematical finance and engineering. The authors utilize mathematics for the solution of problems. The purposes of the volume are to promote research in applied mathematics and computational science; further the application of mathematics to new methods and techniques useful in industry and science; and provide for the exchange of information between the mathematical, industrial, and scientific communities.
Proceedings Of The International Congress Of Mathematicians 2010 (Icm 2010) (In 4 Volumes) - Vol. I: Plenary Lectures And Ceremonies, Vols. Ii-iv: Invited Lectures
ICM 2010 proceedings comprises a four-volume set containing articles based on plenary lectures and invited section lectures, the Abel and Noether lectures, as well as contributions based on lectures delivered by the recipients of the Fields Medal, the Nevanlinna, and Chern Prizes. The first volume will also contain the speeches at the opening and closing ceremonies and other highlights of the Congress.
Estimation and Control of Dynamical Systems
This book provides a comprehensive presentation of classical and advanced topics in estimation and control of dynamical systems with an emphasis on stochastic control. Many aspects which are not easily found in a single text are provided, such as connections between control theory and mathematical finance, as well as differential games. The book is self-contained and prioritizes concepts rather than full rigor, targeting scientists who want to use control theory in their research in applied mathematics, engineering, economics, and management science. Examples and exercises are included throughout, which will be useful for PhD courses and graduate courses in general. Dr. Alain Bensoussan is Lars Magnus Ericsson Chair at UT Dallas and Director of the International Center for Decision and Risk Analysis which develops risk management research as it pertains to large-investment industrial projects that involve new technologies, applications and markets. He is also Chair Professor at City University Hong Kong.
Contributions to Partial Differential Equations and Applications
This book treats Modelling of CFD problems, Numerical tools for PDE, and Scientific Computing and Systems of ODE for Epidemiology, topics that are closely related to the scientific activities and interests of Prof. William Fitzgibbon, Prof. Yuri Kuznetsov, and Prof. O. Pironneau, whose outstanding achievements are recognised in this volume. It contains 20 contributions from leading scientists in applied mathematics dealing with partial differential equations and their applications to engineering, ab-initio chemistry and life sciences. It includes the mathematical and numerical contributions to PDE for applications presented at the ECCOMAS thematic conference "Contributions to PDE for Applica...
Control Theory And Related Topics: In Memory Of Professor Xunjing Li
Xunjing Li (1935-2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in 1990s, which has led to several important subsequent developments in both closely interactive fields. These remarkable efforts in scientific research and education, among others, gave birth to the so-called “Fudan School”.This proceedings volume includes a collection of original research papers or reviews authored or co-authored by Xunjing Li's former students, postdoctoral fellows, and mentored scholars in the areas of control theory, dynamic systems, mathematical finance, and stochastic analysis, among others.
Control Theory and Related Topics
Xunjing Li (1935OCo2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in 1990s, which has led to several important subsequent developments in both closely interactive fields...
Stochastic Analysis, Filtering, and Stochastic Optimization
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.
