Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

This textbook provides the first systematic presentation of the theory of stochastic differential
equations with Markovian switching. It presents the basic principles at an introductory level …

The theory of Markov decision processes focuses on controlled Markov chains in discrete
time. The authors establish the theory for general state and action spaces and at the same …

The aim of this book is to outline the recent development of Markov chain models and their
applications in queueing systems, manufacturing systems, remanufacturing systems …

The idea of writing this book arose in 2000 when the first author was assigned to teach the
required course STATS 240 (Statistical Methods in Finance) in the new MS program in …

This book gives a systematic treatment of singularly perturbed systems that naturally arise in
control and optimization, queueing networks, manufacturing systems, and financial …

The H∞ control has been one of the important robust control approaches since the 1980s.
This book extends the area to nonlinear stochastic H2/H∞ control, and studies more …

This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems
from existing and emerging applications in optimization and control of complex systems in …

Markov-modulated models for equity prices have recently been extensively studied in the
literature. In this paper, we apply some old results on the Wiener--Hopf factorization of …

We consider several multiperiod portfolio optimization models where the market consists of
a riskless asset and several risky assets. The returns in any period are random with a mean …