Applied Stochastic Processes and Control for Jump-Diffusions

Modeling, Analysis, and Computation

AvFloyd B. Hanson

Häftad, Engelska, 2007

Del i serien Advances in Design and Control

1 531 kr

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Beskrivning

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. The book emphasizes modeling and problem solving and presents sample applications in financial engineering and biomedical modeling. Computational and analytic exercises and examples are included throughout. While classical applied mathematics is used in most of the chapters to set up systematic derivations and essential proofs, the final chapter bridges the gap between the applied and the abstract worlds to give readers an understanding of the more abstract literature on jump-diffusions.An additional 160 pages of online appendices are available on a Web page that supplements the book.

Produktinformation

Utgivningsdatum:2007-11-30
Mått:152 x 229 x 26 mm
Vikt:868 g
Format:Häftad
Språk:Engelska
Serie:Advances in Design and Control
Antal sidor:472
Förlag:Society for Industrial & Applied Mathematics,U.S.
ISBN:9780898716337

Utforska kategorier

Beräkning och matematisk analys inom Naturvetenskap och teknik

Mer om författaren

Floyd B. Hanson is Professor Emeritus in the Department of Mathematics, Statistics, and Computer Science at the University of Illinois, Chicago. He received the Premier UIC Award for Excellence in Teaching for 2001 and has published approximately 100 research papers.

Innehållsförteckning

List of FiguresList of TablesPrefaceChapter 1. Stochastic Jump and Diffusion Processes: IntroductionChapter 2. Stochastic Integration for DiffusionsChapter 3. Stochastic Integration for JumpsChapter 4. Stochastic Calculus for Jump-Diffusions: Elementary SDEsChapter 5. Stochastic Calculus for General Markov SDEs: Space-Time Poisson, State-Dependent Noise, and MultidimensionsChapter 6. Stochastic Optimal Control: Stochastic Dynamic ProgrammingChapter 7. Kolmogorov Forward and Backward Equations and Their ApplicationsChapter 8. Computational Stochastic Control MethodsChapter 9. Stochastic SimulationsChapter 10. Applications in Financial EngineeringChapter 11. Applications in Mathematical Biology and MedicineChapter 12. Applied Guide to Abstract Theory of Stochastic ProcessesBibliographyIndexA. Online Appendix: Deterministic Optimal ControlB. Online Appendix: Preliminaries in Probability and AnalysisC. Online Appendix: MATLAB Programs;