Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems: A Volume in Honor of Suresh Sethi / Edition 1

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This edited volume contains sixteen research articles and presents recent and pressing issues in shastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. It assembles experts from the fields of operations research, control theory and optimization, shastic analysis, and financial engineering to review and substantially update the recent progress in these fields. Another distinct characteristic of the book is that all papers are motivated by applications in which optimization, control, and shastics are inseparable. The book will be a timely addition to the literature and will be of interest to people working in the aforementioned fields.

Most importantly, this volume is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday. In view of his fundamental contributions, his distinguished career, his substantial achievements, his influence on the areas of control theory and applications, operations research, and management science, and his dedication to the scientific community, a number of leading experts in the fields of optimization, control, and operation management, have contributed to this volume in honor of him.

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Table of Contents

Preface.- S.P. Sethi's curriculum vitae.- TCP-AQM Interaction: periodic optimization via linear programming.- Explicit solutions of linear quadratic differential games.- Extended generators of Markov processes and applications.- Control of manufacturing systems with delayed inspection and limited capacity.- Admission control in the present of priorities: a sample path approach.- Some bilinear shastic equations with a fractional Brownian motion.- Two types of risk.- Optimal production policy in a shastic manufacturing system.- A shastic control approach to optimal climate policies.- Characterization of just-in-time sequencing via apportionment.- Linear shastic equations in a Hilbert space with a fractional Brownian motion.- Hedging options with transaction costs.- Supply portfolio selection and execution with demand information updates.- A regime-switching model for European options.- Pricing American put options using shastic optimization methods.- Optimal portfolio application with double-uniform jump model.- Index.

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