Coverart for item
The Resource Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation, Floyd B. Hanson

Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation, Floyd B. Hanson

Label
Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation
Title
Applied stochastic processes and control for Jump-diffusions
Title remainder
modeling, analysis, and computation
Statement of responsibility
Floyd B. Hanson
Creator
Subject
Language
eng
Summary
"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 fro jump-diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a dump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems."--BOOK JACKET
Cataloging source
DLC
http://library.link/vocab/creatorName
Hanson, Floyd B
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Advances in design and control
http://library.link/vocab/subjectName
  • Stochastic processes
  • Markov processes
  • Diffusion processes
Label
Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation, Floyd B. Hanson
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 403-422) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • List of figures
  • List of tables
  • Preface
  • 1.
  • Stochastic jump and diffusion processes: introduction.
  • p. 1
  • 2.
  • Stochastic integration for diffusions.
  • p. 31
  • 3.
  • Stochastic integration for jumps.
  • p. 63
  • 4.
  • Stochastic calculus for jump-diffusions: elementary SDEs.
  • p. 81
  • 5.
  • Stochastic calculus for general Markov SDEs: space-time Poisson, state-dependent noise, and multidimensions.
  • p. 129
  • 6.
  • Stochastic optimal control: stochastic dynamic programming.
  • p. 169
  • 7.
  • Kolmogorov forward and backward equations and their applications.
  • p. 193
  • 8.
  • Computational stochastic control methods.
  • p. 219
  • 9.
  • Stochastic simulations.
  • p. 241
  • 10.
  • Applications in financial engineering.
  • p. 287
  • 11.
  • Applications in mathematical biology and medicine.
  • p. 339
  • 12.
  • Applied guide to abstract theory of stochastic processes.
  • p. 361
  • Bibliography.
  • p. 403
  • Index.
  • p. 423
Control code
982007061739
Dimensions
26 cm.
Extent
xxix, 443 p.
Isbn
9780898716337
Lccn
2007061739
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.
Label
Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation, Floyd B. Hanson
Publication
Bibliography note
Includes bibliographical references (p. 403-422) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • List of figures
  • List of tables
  • Preface
  • 1.
  • Stochastic jump and diffusion processes: introduction.
  • p. 1
  • 2.
  • Stochastic integration for diffusions.
  • p. 31
  • 3.
  • Stochastic integration for jumps.
  • p. 63
  • 4.
  • Stochastic calculus for jump-diffusions: elementary SDEs.
  • p. 81
  • 5.
  • Stochastic calculus for general Markov SDEs: space-time Poisson, state-dependent noise, and multidimensions.
  • p. 129
  • 6.
  • Stochastic optimal control: stochastic dynamic programming.
  • p. 169
  • 7.
  • Kolmogorov forward and backward equations and their applications.
  • p. 193
  • 8.
  • Computational stochastic control methods.
  • p. 219
  • 9.
  • Stochastic simulations.
  • p. 241
  • 10.
  • Applications in financial engineering.
  • p. 287
  • 11.
  • Applications in mathematical biology and medicine.
  • p. 339
  • 12.
  • Applied guide to abstract theory of stochastic processes.
  • p. 361
  • Bibliography.
  • p. 403
  • Index.
  • p. 423
Control code
982007061739
Dimensions
26 cm.
Extent
xxix, 443 p.
Isbn
9780898716337
Lccn
2007061739
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.

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      53.418074 -2.967913
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