Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12577252 |
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| 100 | 1 | |a Hanson, Floyd B. |0 http://id.loc.gov/authorities/names/n2007036189 | |
| 245 | 1 | 0 | |a Applied stochastic processes and control for Jump-diffusions : |b modeling, analysis, and computation / |c Floyd B. Hanson. |
| 260 | |a Philadelphia, Pa. : |b Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), |c 2007. | ||
| 300 | |a 1 online resource (xxix, 443 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in design and control | |
| 588 | 0 | |a Title page of print version. | |
| 504 | |a Includes bibliographical references (pages 403-422) and index. | ||
| 505 | 0 | |a Stochastic Jump and Diffusion Processes -- Stochastic Integration for Diffusions -- Stochastic Integration for Jumps -- Stochastic Calculus for Jump-Diffusions -- Stochastic Calculus for General Markov SDEs -- Stochastic Dynamic Programming -- Kolmogorov Equations -- Computational Stochastic Control Methods -- Stochastic Simulations -- Applications in Financial Engineering -- Applications in Mathematical Biology and Medicine -- Applied Guide to Abstract Stochastic Processes -- A Appendix Online : Deterministic Optimal Control -- B Appendix Online : Preliminaries in Probability and Analysis -- C Appendix Online : MATLAB Programs. | |
| 520 | 3 | |a 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. | |
| 520 | 8 | |a 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. | |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 0 | |a Markov processes. |0 http://id.loc.gov/authorities/subjects/sh85081369 | |
| 650 | 0 | |a Diffusion processes. |0 http://id.loc.gov/authorities/subjects/sh85037941 | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Processus de Markov. | |
| 650 | 6 | |a Processus de diffusion. | |
| 650 | 7 | |a Diffusion processes. |2 fast |0 (OCoLC)fst00893561 | |
| 650 | 7 | |a Markov processes. |2 fast |0 (OCoLC)fst01010347 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519 | |
| 653 | |a Stochastic process | ||
| 653 | |a Stochastic optimal control | ||
| 653 | |a Computational stochastic dynamic programming | ||
| 653 | |a Financial engineering applications | ||
| 653 | |a computational biomedicine applications | ||
| 710 | 2 | |a Society for Industrial and Applied Mathematics. |0 http://id.loc.gov/authorities/names/n79053057 | |
| 776 | 0 | 8 | |i Print version: |z 0898716330 |z 9780898716337 |w (DLC) 2007061739 |
| 830 | 0 | |a Advances in design and control. |0 http://id.loc.gov/authorities/names/n99023635 | |
| 856 | 4 | 0 | |u https://epubs.siam.org/doi/book/10.1137/1.9780898718638 |y Society for Industrial and Applied Mathematics |
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| 928 | |t Library of Congress classification |a QA274.H36 2007eb |l Online |c UC-FullText |u https://epubs.siam.org/doi/book/10.1137/1.9780898718638 |z Society for Industrial and Applied Mathematics |g ebooks |i 12568636 | ||