Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of his 60th birthday.

DOI10.1007/0-387-33815-2MaRDI QIDQ2494655zbMATH OpenOpenAlexFDO

Authors

Publication date 20 July 2006

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-33815-2

Mathematics Subject Classification ID

Festschriften (00B30) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Proceedings, conferences, collections, etc. pertaining to systems and control theory (93-06)

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Cited in

(2)

• Controllable Markov jump processes. I: Optimum filtering based on complex observations
• A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

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