Accession Number : ADA291712

Title :   Stochastic Control and Topics in Applied Probability.

Descriptive Note : Final rept. 1 Jun 91-30 Nov 94,

Corporate Author : COLUMBIA UNIV NEW YORK DEPT OF STATISTICS

Personal Author(s) : Karatzas, Ioannis

PDF Url : ADA291712

Report Date : FEB 1995

Pagination or Media Count : 5

Abstract : Research findings achieved under the auspices of the Army research grant on topics of Stochastic control under partial observations; Dynamic allocation and Multi-armed Bandit Problems; Deterministic and anticipative aspects of stochastic optimization; Predictable representation properties for semimartingales; The stochastic version of Pontryagin's maximum principle; Representation of additive functionals of Markov processes are outlined in the final report. (AN)

Descriptors :   *STOCHASTIC CONTROL, MATHEMATICAL MODELS, OPTIMIZATION, PARAMETERS, RANDOM VARIABLES, PROBABILITY, PROBLEM SOLVING, MATHEMATICAL PREDICTION, DISCRETE DISTRIBUTION, CONTROL THEORY, BAYES THEOREM, DYNAMIC PROGRAMMING, MARKOV PROCESSES.

Subject Categories : Statistics and Probability
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE