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This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional constraints and the realizability of strategies. Three major methods of investigations are presented, based on dynamic programming, linear programming, and reduction to discrete-time problems. Although the main focus is on models with total (discounted or undiscounted) cost criteria, models with average cost criteria and with impulsive controls are also discussed in depth. The book is self-contained. A separate chapter is devoted to Markov pure jump processes and the appendices collect the requisite background on real analysis and applied probability. All the statements in the main text are proved in detail. Researchers and graduate students in applied probability, operational research, statistics and engineering will find this monograph interesting, useful and valuable. .

Statistical science --- Numerical methods of optimisation --- Operational research. Game theory --- Probability theory --- waarschijnlijkheidstheorie --- statistiek --- systeemtheorie --- wiskunde

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This text presents a novel theory on current markets. It helps us understand how the information ecology is important to how the markets work, and how our economy functions and evolves. Numerous scenarios and examples allow readers to reflect on their own roles in the economy and give them new tools to analyse social-economic phenomena.

Knowledge economy.

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Relying upon a standard New Keynesian DSGE, we propose an explanation for two empirical findings in the international finance literature. First, the unbiasedness hypothesis - the proposition that expost exchange rate depreciation matches interest differentials - is rejected much more strongly at short horizons than at long. Second, even at long horizons, the unbiasedness hypothesis tends to be rejected when one of the currencies has experienced a long period of low interest rates, such as in Japan and Switzerland. Using a calibrated New Keynesian dynamic stochastic general equilibrium model, we show how a monetary policy rule can induce the negative (positive) correlation between depreciation and interest differentials at short (long) horizons. The tendency to reject unbiasedness for Japan and Switzerland even at long horizons we attribute to the interaction of the monetary reaction function and the zero lower bound.

Zonder onderwerpscode: economie

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This book presents advances in state-of-the-art solution methods and their applications to real life practical problems in optimization, control and operations research. Contributions from world-class experts in the field are collated here in two parts, dealing first with optimization and control theory and then with techniques and applications. Topics covered in the first part include control theory on infinite dimensional Banach spaces, history-dependent inclusion and linear programming complexity theory. Chapters also explore the use of approximations of Hamilton-Jacobi-Bellman inequality for solving periodic optimization problems and look at multi-objective semi-infinite optimization problems, and production planning problems.  In the second part, the authors address techniques and applications of optimization and control in a variety of disciplines, such as chaos synchronization, facial expression recognition and dynamic input-output economic models. Other applications considered here include image retrieval, natural earth satellites orbital transfers, snap-back repellers, and modern logistic systems. Readers will learn of advances in optimization, control, and operations research, as well as potential new avenues of research and development. The book will appeal to scientific researchers, mathematicians and all specialists interested in the latest advances in optimization and control.  .

Mathematical optimization. --- Control theory --- Mathematical models. --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- System analysis --- Systems theory. --- Operations research. --- Optimization. --- Systems Theory, Control. --- Operations Research/Decision Theory. --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- System theory. --- Decision making. --- Deciding --- Decision (Psychology) --- Decision analysis --- Decision processes --- Making decisions --- Management --- Management decisions --- Choice (Psychology) --- Problem solving --- Systems, Theory of --- Systems science --- Science --- Decision making --- Philosophy

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'Minority Games' is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders.

Operational research. Game theory --- Stock exchanges --- Game theory --- Mathematical models --- E-books --- Game theory. --- Games, Theory of --- Theory of games --- Mathematics --- Bulls and bears --- Commercial corners --- Corners, Commercial --- Equity markets --- Exchanges, Securities --- Exchanges, Stock --- Securities exchanges --- Stock-exchange --- Stock markets --- Capital market --- Efficient market theory --- Speculation --- Mathematical models. --- Stocks