Modeling, Stochastic Control, Optimization, and Applications

Description

This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics. Front Matter ....Pages i-x Uniform Polynomial Rates of Convergence for A Class of Lévy-Driven Controlled SDEs Arising in Multiclass Many-Server Queues (Ari Arapostathis, Hassan Hmedi, Guodong Pang, Nikola Sandrić)....Pages 1-20 Nudged Particle Filters in Multiscale Chaotic Systems with Correlated Sensor Noise (Ryne Beeson, N. Sri Namachchivaya)....Pages 21-55 Postponing Collapse: Ergodic Control with a Probabilistic Constraint (Vivek S. Borkar, Jerzy A. Filar)....Pages 57-65 Resource Sharing Networks and Brownian Control Problems (Amarjit Budhiraja, Michael Conroy)....Pages 67-93 American Option Model and Negative Fichera Function on Degenerate Boundary (Xiaoshan Chen, Zhuo Jin, Qingshuo Song)....Pages 95-113 Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing (Zhenyu Cui, J. Lars Kirkby, Duy Nguyen)....Pages 115-146 Numerical Approximations for Discounted Continuous Time Markov Decision Processes (François Dufour, Tomás Prieto-Rumeau)....Pages 147-171 Some Linear-Quadratic Stochastic Differential Games Driven by State Dependent Gauss-Volterra Processes (Tyrone E. Duncan, Bozenna Pasik-Duncan)....Pages 173-179 Correlated Equilibria for Infinite Horizon Nonzero-Sum Stochastic Differential Games (Beatris A. Escobedo-Trujillo, Héctor Jasso-Fuentes)....Pages 181-200 Lattice Dynamical Systems in the Biological Sciences (Xiaoying Han, Peter E. Kloeden)....Pages 201-233 Balancing Prevention and Suppression of Forest Fires with Fuel Management as a Stock (Betsy Heines, Suzanne Lenhart, Charles Sims)....Pages 235-259 A Free-Model Characterization of the Asymptotic Certainty Equivalent by the Arrow-Pratt Index (Daniel Hernández-Hernández, Erick Treviño-Aguilar)....Pages 261-281 Binary Mean Field Stochastic Games: Stationary Equilibria and Comparative Statics (Minyi Huang, Yan Ma)....Pages 283-313 Equivalence of Fluid Models for Gt/GI/N +GI Queues (Weining Kang, Guodong Pang)....Pages 315-349 Stochastic HJB Equations and Regular Singular Points∗ (Arthur J Krener)....Pages 351-368 Information Diffusion in Social Networks: Friendship Paradox Based Models and Statistical Inference (Vikram Krishnamurthy, Buddhika Nettasinghe)....Pages 369-406 Portfolio Optimization Using Regime-Switching Stochastic Interest Rate and Stochastic Volatility Models (R. H. Liu, D. Ren)....Pages 407-425 On Optimal Stopping and Impulse Control with Constraint (J. L. Menaldi, M Robin)....Pages 427-450 Linear-Quadratic McKean-Vlasov Stochastic Differential Games (Enzo Miller, Huyên Pham)....Pages 451-481 Stochastic Multigroup Epidemic Models: Duration and Final Size (Aadrita Nandi, Linda J. S. Allen)....Pages 483-507 H2 Dynamic Output Feedback Control for Hidden Markov Jump Linear Systems (A. M. de Oliveria, O. L. V. Costa, J. Daafouz)....Pages 509-532 Time-Inconsistent Optimal Control Problems and Related Issues (Wei Yan, Jiongmin Yong)....Pages 533-569 Regime-Switching Jump Diffusions with Non-Lipschitz Coefficients and Countably Many Switching States: Existence and Uniqueness, Feller, and Strong Feller Properties (Fubao Xi, George Yin, Chao Zhu)....Pages 571-599