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.


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