Applied Stochastic Processes and Control for Jump-Diffusions

Applied Stochastic Processes and Control for Jump-Diffusions
Author :
Publisher : SIAM
Total Pages : 472
Release :
ISBN-10 : 0898718635
ISBN-13 : 9780898718638
Rating : 4/5 (638 Downloads)

Book Synopsis Applied Stochastic Processes and Control for Jump-Diffusions by : Floyd B. Hanson

Download or read book Applied Stochastic Processes and Control for Jump-Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Applied Stochastic Processes and Control for Jump-Diffusions Related Books

Applied Stochastic Processes and Control for Jump-Diffusions
Language: en
Pages: 472
Authors: Floyd B. Hanson
Categories: Mathematics
Type: BOOK - Published: 2007-01-01 - Publisher: SIAM

GET EBOOK

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a cl
Applied Stochastic Control of Jump Diffusions
Language: en
Pages: 263
Authors: Bernt Øksendal
Categories: Mathematics
Type: BOOK - Published: 2007-04-26 - Publisher: Springer Science & Business Media

GET EBOOK

Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its ap
Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott
Language: en
Pages: 605
Authors: Samuel N Cohen
Categories: Mathematics
Type: BOOK - Published: 2012-08-10 - Publisher: World Scientific

GET EBOOK

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical f
Numerical Methods for Stochastic Control Problems in Continuous Time
Language: en
Pages: 480
Authors: Harold Kushner
Categories: Mathematics
Type: BOOK - Published: 2013-11-27 - Publisher: Springer Science & Business Media

GET EBOOK

Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest de
Theory and Applications of Stochastic Processes
Language: en
Pages: 486
Authors: Zeev Schuss
Categories: Mathematics
Type: BOOK - Published: 2009-12-09 - Publisher: Springer Science & Business Media

GET EBOOK

Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry,