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Autor Alain Bensoussan |
Documentos disponibles escritos por este autor (4)



Applied stochastic control in econometrics and management science / Alain Bensoussan (1980)
Título : Applied stochastic control in econometrics and management science Tipo de documento: texto impreso Autores: Alain Bensoussan, Editor científico ; Paul Kleindorfer, Editor científico ; Charles S. Tapiero, Editor científico Editorial: Amsterdam ; Oxford : North-Holland Fecha de publicación: 1980 Colección: Contributions to economic analysis num. 130 Número de páginas: XV, 304 p. Dimensiones: 23 cm ISBN/ISSN/DL: 978-0-444-85408-7 Idioma : Inglés (eng) Materias: Econometría
Econometría aplicadaClasificación: 519.21 Teoría de probabilidades y procesos estocásticos Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=3536 Applied stochastic control in econometrics and management science [texto impreso] / Alain Bensoussan, Editor científico ; Paul Kleindorfer, Editor científico ; Charles S. Tapiero, Editor científico . - Amsterdam ; Oxford : North-Holland, 1980 . - XV, 304 p. ; 23 cm. - (Contributions to economic analysis; 130) .
ISBN : 978-0-444-85408-7
Idioma : Inglés (eng)
Materias: Econometría
Econometría aplicadaClasificación: 519.21 Teoría de probabilidades y procesos estocásticos Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=3536 Reserva
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Signatura Medio Ubicación Sub-localización Sección Estado 519.21 APP Monografías Campus Leonardo Prieto Castro 1ª Planta Disponible Future Perspectives in Risk Models and Finance / SpringerLink (Online service) ; Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero (2015)
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Título : Future Perspectives in Risk Models and Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero Editorial: Cham : Springer International Publishing Fecha de publicación: 2015 Otro editor: Imprint: Springer Colección: International Series in Operations Research & Management Science, ISSN 0884-8289 num. 211 Número de páginas: XIV, 315 p. 45 illus., 31 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-319-07524-2 Idioma : Inglés (eng) Palabras clave: Business Operations research Decision making Economics, Mathematical Macroeconomics and Management Operation Research/Decision Theory Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Clasificación: 658 Empresas. Organización de empresas Resumen: This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices Nota de contenido: Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model En línea: http://dx.doi.org/10.1007/978-3-319-07524-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35423 Future Perspectives in Risk Models and Finance [documento electrónico] / SpringerLink (Online service) ; Alain Bensoussan ; Dominique Guegan ; Charles S. Tapiero . - Cham : Springer International Publishing : Imprint: Springer, 2015 . - XIV, 315 p. 45 illus., 31 illus. in color : online resource. - (International Series in Operations Research & Management Science, ISSN 0884-8289; 211) .
ISBN : 978-3-319-07524-2
Idioma : Inglés (eng)
Palabras clave: Business Operations research Decision making Economics, Mathematical Macroeconomics and Management Operation Research/Decision Theory Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Clasificación: 658 Empresas. Organización de empresas Resumen: This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb, and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices Nota de contenido: Estimation Theory for Generalized Linear Models -- New Distorsion Risk Measure Based on Bimodal Distributions -- Stress Testing Engineering: Risk Vs Incident -- The Skin In The Game Heuristic for Protection Against Tail Events -- The Fragility Theorem -- Financial Modeling, Memory and Mathematical Systems -- Asset price modeling: from Fractional to Multifractional Processes -- Financial Analytics and A Binomial Pricing Model En línea: http://dx.doi.org/10.1007/978-3-319-07524-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=35423 Ejemplares
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Título : Mean Field Games and Mean Field Type Control Theory Tipo de documento: documento electrónico Autores: Alain Bensoussan ; SpringerLink (Online service) ; Jens Frehse ; Phillip Yam Editorial: New York, NY : Springer New York Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: SpringerBriefs in Mathematics, ISSN 2191-8198 Número de páginas: X, 128 p Il.: online resource ISBN/ISSN/DL: 978-1-4614-8508-7 Idioma : Inglés (eng) Palabras clave: Mathematics Partial differential equations System theory Probabilities Systems Theory, Control Probability Theory and Stochastic Processes Differential Equations Clasificación: 51 Matemáticas Resumen: Mean field games and Mean field type control introduce new problems in Control Theory. The terminology “games” may be confusing. In fact they are control problems, in the sense that one is interested in a single decision maker, whom we can call the representative agent. However, these problems are not standard, since both the evolution of the state and the objective functional is influenced but terms which are not directly related to the state or the control of the decision maker. They are however, indirectly related to him, in the sense that they model a very large community of agents similar to the representative agent. All the agents behave similarly and impact the representative agent. However, because of the large number an aggregation effect takes place. The interesting consequence is that the impact of the community can be modeled by a mean field term, but when this is done, the problem is reduced to a control problem. Nota de contenido: Introduction -- General Presentation of Mean Field Control Problems -- Discussion of the Mean Field game -- Discussion of the Mean Field Type Control -- Approximation of Nash Games with a large number of players -- Linear Quadratic Models -- Stationary Problems- Different Populations -- Nash differential games with Mean Field effect En línea: http://dx.doi.org/10.1007/978-1-4614-8508-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32391 Mean Field Games and Mean Field Type Control Theory [documento electrónico] / Alain Bensoussan ; SpringerLink (Online service) ; Jens Frehse ; Phillip Yam . - New York, NY : Springer New York : Imprint: Springer, 2013 . - X, 128 p : online resource. - (SpringerBriefs in Mathematics, ISSN 2191-8198) .
ISBN : 978-1-4614-8508-7
Idioma : Inglés (eng)
Palabras clave: Mathematics Partial differential equations System theory Probabilities Systems Theory, Control Probability Theory and Stochastic Processes Differential Equations Clasificación: 51 Matemáticas Resumen: Mean field games and Mean field type control introduce new problems in Control Theory. The terminology “games” may be confusing. In fact they are control problems, in the sense that one is interested in a single decision maker, whom we can call the representative agent. However, these problems are not standard, since both the evolution of the state and the objective functional is influenced but terms which are not directly related to the state or the control of the decision maker. They are however, indirectly related to him, in the sense that they model a very large community of agents similar to the representative agent. All the agents behave similarly and impact the representative agent. However, because of the large number an aggregation effect takes place. The interesting consequence is that the impact of the community can be modeled by a mean field term, but when this is done, the problem is reduced to a control problem. Nota de contenido: Introduction -- General Presentation of Mean Field Control Problems -- Discussion of the Mean Field game -- Discussion of the Mean Field Type Control -- Approximation of Nash Games with a large number of players -- Linear Quadratic Models -- Stationary Problems- Different Populations -- Nash differential games with Mean Field effect En línea: http://dx.doi.org/10.1007/978-1-4614-8508-7 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32391 Ejemplares
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Título : Representation and Control of Infinite Dimensional Systems Tipo de documento: documento electrónico Autores: Alain Bensoussan ; SpringerLink (Online service) ; Prato, Giuseppe Da ; Michel C. Delfour ; Sanjoy K. Mitter Editorial: Boston, MA : Birkhäuser Boston Fecha de publicación: 2007 Colección: Systems & Control: Foundations & Applications, ISSN 2324-9749 Número de páginas: XXVIII, 576 p. 5 illus Il.: online resource ISBN/ISSN/DL: 978-0-8176-4581-6 Idioma : Inglés (eng) Palabras clave: Engineering Partial differential equations Applied mathematics System theory Calculus of variations Control engineering Robotics Mechatronics Systems Theory, Variations and Optimal Control; Optimization Control, Robotics, Differential Equations Applications Mathematics Clasificación: 51 Matemáticas Resumen: "This book is a most welcome addition to the literature of this field, where it serves the need for a modern treatment on topics that only very recently have found a satisfactory solution.... Many readers will appreciate the concise exposition." "Presents, or refers to, the most recent and updated results in the field. For this reason, it should serve as an excellent asset to anyone pursuing a research career in the field." —Mathematical Reviews (reviews of Volumes I and II of the First Edition) The quadratic cost optimal control problem for systems described by linear ordinary differential equations occupies a central role in the study of control systems both from a theoretical and design point of view. The study of this problem over an infinite time horizon shows the beautiful interplay between optimality and the qualitative properties of systems such as controllability, observability, stabilizability, and detectability. This theory is far more difficult for infinite dimensional systems such as those with time delays and distributed parameter systems. This reorganized, revised, and expanded edition of a two-volume set is a self-contained account of quadratic cost optimal control for a large class of infinite dimensional systems. The book is structured into five parts. Part I reviews basic optimal control and game theory of finite dimensional systems, which serves as an introduction to the book. Part II deals with time evolution of some generic controlled infinite dimensional systems and contains a fairly complete account of semigroup theory. It incorporates interpolation theory and exhibits the role of semigroup theory in delay differential and partial differential equations. Part III studies the generic qualitative properties of controlled systems. Parts IV and V examine the optimal control of systems when performance is measured via a quadratic cost. Boundary control of parabolic and hyperbolic systems and exact controllability are also covered. New material and original features of the Second Edition: * Part I on finite dimensional controlled dynamical systems contains new material: an expanded chapter on the control of linear systems including a glimpse into H-infinity theory and dissipative systems, and a new chapter on linear quadratic two-person zero-sum differential games. * A unique chapter on semigroup theory and interpolation of linear operators brings together advanced concepts and techniques that are usually treated independently. * The material on delay systems and structural operators is not available elsewhere in book form. Control of infinite dimensional systems has a wide range and growing number of challenging applications. This book is a key reference for anyone working on these applications, which arise from new phenomenological studies, new technological developments, and more stringent design requirements. It will be useful for mathematicians, graduate students, and engineers interested in the field and in the underlying conceptual ideas of systems and control Nota de contenido: Finite Dimensional Linear Control Dynamical Systems -- Control of Linear Differential Systems -- Linear Quadratic Two-Person Zero-Sum Differential Games -- Representation of Infinite Dimensional Linear Control Dynamical Systems -- Semigroups of Operators and Interpolation -- Variational Theory of Parabolic Systems -- Semigroup Methods for Systems With Unbounded Control and Observation Operators -- State Space Theory of Differential Systems With Delays -- Qualitative Properties of Infinite Dimensional Linear Control Dynamical Systems -- Controllability and Observability for a Class of Infinite Dimensional Systems -- Quadratic Optimal Control: Finite Time Horizon -- Bounded Control Operators: Control Inside the Domain -- Unbounded Control Operators: Parabolic Equations With Control on the Boundary -- Unbounded Control Operators: Hyperbolic Equations With Control on the Boundary -- Quadratic Optimal Control: Infinite Time Horizon -- Bounded Control Operators: Control Inside the Domain -- Unbounded Control Operators: Parabolic Equations With Control on the Boundary -- Unbounded Control Operators: Hyperbolic Equations With Control on the Boundary En línea: http://dx.doi.org/10.1007/978-0-8176-4581-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34560 Representation and Control of Infinite Dimensional Systems [documento electrónico] / Alain Bensoussan ; SpringerLink (Online service) ; Prato, Giuseppe Da ; Michel C. Delfour ; Sanjoy K. Mitter . - Boston, MA : Birkhäuser Boston, 2007 . - XXVIII, 576 p. 5 illus : online resource. - (Systems & Control: Foundations & Applications, ISSN 2324-9749) .
ISBN : 978-0-8176-4581-6
Idioma : Inglés (eng)
Palabras clave: Engineering Partial differential equations Applied mathematics System theory Calculus of variations Control engineering Robotics Mechatronics Systems Theory, Variations and Optimal Control; Optimization Control, Robotics, Differential Equations Applications Mathematics Clasificación: 51 Matemáticas Resumen: "This book is a most welcome addition to the literature of this field, where it serves the need for a modern treatment on topics that only very recently have found a satisfactory solution.... Many readers will appreciate the concise exposition." "Presents, or refers to, the most recent and updated results in the field. For this reason, it should serve as an excellent asset to anyone pursuing a research career in the field." —Mathematical Reviews (reviews of Volumes I and II of the First Edition) The quadratic cost optimal control problem for systems described by linear ordinary differential equations occupies a central role in the study of control systems both from a theoretical and design point of view. The study of this problem over an infinite time horizon shows the beautiful interplay between optimality and the qualitative properties of systems such as controllability, observability, stabilizability, and detectability. This theory is far more difficult for infinite dimensional systems such as those with time delays and distributed parameter systems. This reorganized, revised, and expanded edition of a two-volume set is a self-contained account of quadratic cost optimal control for a large class of infinite dimensional systems. The book is structured into five parts. Part I reviews basic optimal control and game theory of finite dimensional systems, which serves as an introduction to the book. Part II deals with time evolution of some generic controlled infinite dimensional systems and contains a fairly complete account of semigroup theory. It incorporates interpolation theory and exhibits the role of semigroup theory in delay differential and partial differential equations. Part III studies the generic qualitative properties of controlled systems. Parts IV and V examine the optimal control of systems when performance is measured via a quadratic cost. Boundary control of parabolic and hyperbolic systems and exact controllability are also covered. New material and original features of the Second Edition: * Part I on finite dimensional controlled dynamical systems contains new material: an expanded chapter on the control of linear systems including a glimpse into H-infinity theory and dissipative systems, and a new chapter on linear quadratic two-person zero-sum differential games. * A unique chapter on semigroup theory and interpolation of linear operators brings together advanced concepts and techniques that are usually treated independently. * The material on delay systems and structural operators is not available elsewhere in book form. Control of infinite dimensional systems has a wide range and growing number of challenging applications. This book is a key reference for anyone working on these applications, which arise from new phenomenological studies, new technological developments, and more stringent design requirements. It will be useful for mathematicians, graduate students, and engineers interested in the field and in the underlying conceptual ideas of systems and control Nota de contenido: Finite Dimensional Linear Control Dynamical Systems -- Control of Linear Differential Systems -- Linear Quadratic Two-Person Zero-Sum Differential Games -- Representation of Infinite Dimensional Linear Control Dynamical Systems -- Semigroups of Operators and Interpolation -- Variational Theory of Parabolic Systems -- Semigroup Methods for Systems With Unbounded Control and Observation Operators -- State Space Theory of Differential Systems With Delays -- Qualitative Properties of Infinite Dimensional Linear Control Dynamical Systems -- Controllability and Observability for a Class of Infinite Dimensional Systems -- Quadratic Optimal Control: Finite Time Horizon -- Bounded Control Operators: Control Inside the Domain -- Unbounded Control Operators: Parabolic Equations With Control on the Boundary -- Unbounded Control Operators: Hyperbolic Equations With Control on the Boundary -- Quadratic Optimal Control: Infinite Time Horizon -- Bounded Control Operators: Control Inside the Domain -- Unbounded Control Operators: Parabolic Equations With Control on the Boundary -- Unbounded Control Operators: Hyperbolic Equations With Control on the Boundary En línea: http://dx.doi.org/10.1007/978-0-8176-4581-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34560 Ejemplares
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