Overview
- Consists of contributions from leading experts in these fields, former colleagues, graduate students, graduate advisor, and research associates of Professor Davis
- Compiles a body of research to honor the pioneering work of Professsor Mark H. A. Davis in Stochastic Processes, Filtering and Stochastic Optimization
- Includes significant advances on a range of topics, among others in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time inconsistency, impulse, singular, risk-sensitive and robust control
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About this book
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
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Keywords
Table of contents (19 chapters)
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Front Matter
Editors and Affiliations
About the editors
George Yin received his Ph.D. degree in applied mathematics from Brown University in 1987. He joined the Department of Mathematics, Wayne State University in 1987, and became Professor in 1996 and University Distinguished Professor in 2017. He moved to the University of Connecticut in 2020. His research interests include stochastic processes, stochastic control, systems theory, and applications. He has served on the editorial board of many journals; he is the Editor-in-Chief of SIAM Journal on Control and Optimization. He is a Fellow of IFAC, a Fellow of IEEE, and a Fellow of SIAM.
Thaleia Zariphopoulou received her Ph.D. in Applied Mathematics from Brown University in 1989. She holds the Presidential Chair of Mathematics and the V.F. Neuhaus Professorship of Finance at UT-Austin. Previously, she was the Laun Professor at the University of Wisconsin, Madison and from 2009-2012, the first holder of the statutory Oxford-Man Chair in Quantitative Finance at the Mathematical Institute, University of Oxford. She is the Editor of the SIAM Series in Financial Mathematics and serves in the editorial board of many journals, among which the SIAM journals SICON and SIFIN. She has also been the Vice-Chair (2007-2010) of the SIAG Activity Group in Financial Mathematics and Engineering, and has served as Vice-President (2004-2006) and President (2006-2008) of the Bachelier Finance Society. In 2012, she was elected SIAM Fellow. Her research interests include stochastic optimization and financial mathematics.
Thaleia Zariphopoulou received her Ph.D. in Applied Mathematics from Brown University in 1989. She holds the Presidential Chair of Mathematics and the V.F. Neuhaus Professorship of Finance at UT-Austin. Previously, she was the Laun Professor at the University of Wisconsin, Madison and from 2009-2012, the first holder of the statutory Oxford-Man Chair in Quantitative Finance at the Mathematical Institute, University of Oxford. She is the Editor of the SIAM Series in Financial Mathematics and serves in the editorial board of many journals, among which the SIAM journals SICON and SIFIN. She has also been the Vice-Chair (2007-2010) of the SIAG Activity Group in Financial Mathematics and Engineering, and has served as Vice-President (2004-2006) and President (2006-2008) of the Bachelier Finance Society. In 2012, she was elected SIAM Fellow. Her research interests include stochastic optimization and financial mathematics.
Bibliographic Information
Book Title: Stochastic Analysis, Filtering, and Stochastic Optimization
Book Subtitle: A Commemorative Volume to Honor Mark H. A. Davis's Contributions
Editors: George Yin, Thaleia Zariphopoulou
DOI: https://doi.org/10.1007/978-3-030-98519-6
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022
Hardcover ISBN: 978-3-030-98518-9Published: 23 April 2022
Softcover ISBN: 978-3-030-98521-9Published: 23 April 2023
eBook ISBN: 978-3-030-98519-6Published: 22 April 2022
Edition Number: 1
Number of Pages: XXVII, 466
Number of Illustrations: 16 b/w illustrations, 34 illustrations in colour
Topics: Probability Theory and Stochastic Processes, Optimization