Applied Stochastic Processes and Control for Jump Diffusions

Name: Applied Stochastic Processes and Control for Jump Diffusions
Brand: Society for Industrial & Applied Mathematics,U.S.
SKU: 9780898716337
Price: 566.33 PLN
Availability: InStock

Modeling, Analysis, and Computation

Autor: Floyd B. Hanson

Język:

Oprawa: Miękka

Wydawca: Society for Industrial & Applied Mathematics,U.S.

Dostępność: 50 % szansa

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566.33 zł

This self-contained, practical, entry-level text integrates the basic principles of applied mathemat...

Informacje o książce

Autor

Floyd B. Hanson

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2007

strony

472

EAN

9780898716337

ISBN

0898716330

Enbook ID

02050201

Wydawca

Society for Industrial & Applied Mathematics,U.S.

Waga

Wymiary

260 x 183 x 26

Pełny opis

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 emphasises modelling and problem solving, and presents sample applications in financial engineering and biomedical modelling. 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. Appendices are available on the book's supplementary Web page.

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Applied Stochastic Processes and Control for Jump Diffusions

Modeling, Analysis, and Computation

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