ISBN-10:
0898716330
ISBN-13:
9780898716337
Pub. Date:
10/03/2007
Publisher:
SIAM
Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation

Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation

by Floyd B. Hanson

Hardcover

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Product Details

ISBN-13: 9780898716337
Publisher: SIAM
Publication date: 10/03/2007
Series: Advances in Design and Control Series
Edition description: New Edition
Pages: 441
Product dimensions: 6.85(w) x 9.72(h) x 1.02(d)

About the Author

Floyd B. Hanson is Professor Emeritus in the Department of Mathematics, Statistics, and Computer Science at the University of Illinois, Chicago. He received the Premier UIC Award for Excellence in Teaching for 2001 and has published approximately 100 research papers.

Table of Contents

Preface; 1. Stochastic jump and diffusion processes; 2. Stochastic integration for diffusions; 3. Stochastic integration for jumps; 4. Stochastic calculus for jump-diffusions; 5. Stochastic calculus for general Markov SDEs; 6. Stochastic dynamic programming; 7. Kolmogorov equations; 8. Computational Stochastic control methods; 9. Stochastic simulations; 10. Applications in financial engineering; 11. Applications in mathematical niology and medicine; 12. Applied guide to abstract stochastic processes; Bibliography; Index; A. Appendix online: deterministic optimal control; B. Appendix online: preliminaries in probability and analysis; C. Appendix online: MATLAB programs.

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