Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation /

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Bibliographic Details
Author / Creator:	Hanson, Floyd B.
Imprint:	Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2007.
Description:	1 online resource (xxix, 443 pages) : illustrations
Language:	English
Series:	Advances in design and control Advances in design and control.
Subject:	Stochastic processes. Markov processes. Diffusion processes. Diffusion processes. Markov processes. Stochastic processes.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12577252

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Other authors / contributors:	Society for Industrial and Applied Mathematics.
ISBN:	9780898718638 0898718635 9780898716337 0898716330
Notes:	Includes bibliographical references (pages 403-422) and index. Title page of print version.
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 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.
Other form:	Print version: 0898716330 9780898716337
Publisher's no.:	DC13 siam

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