Applied Stochastic Processes and Control for Jump-Diffusions
| Author | : Floyd B. Hanson |
| Publisher | : SIAM |
| Total Pages | : 472 |
| Release | : 2007-01-01 |
| 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.