Author: Guoliang WuPublisher:
ISBN:
Category :
Languages : en
Pages : 220
Book Description
Impulse Control of Multidimensional Diffusion and Jump Diffusion Processes
Author: Guoliang WuAn Impulse Control Policy for a Class of Jump Diffusion Processes
Author: Yakoov YavinMultidimensional Diffusion Processes
Author: Daniel W. StroockOptimal Switching and Impulse Control of a One-dimensional Diffusion Process
Author: Gary Catterton MyersPublisher:
ISBN:
Category : Diffusion processes
Languages : en
Pages : 260
Book Description
Applied Stochastic Processes and Control for Jump-Diffusions
Author: Floyd B. HansonPublisher: SIAM
ISBN: 9780898718638
Category : Mathematics
Languages : en
Pages : 472
Book Description
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.
Stochastic Analysis, Filtering, and Stochastic Optimization
Author: George YinPublisher: Springer Nature
ISBN: 3030985199
Category : Mathematics
Languages : en
Pages : 466
Book Description
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Optimal Control of Partially Observable Jump Diffusion Processes
Author: M. FriedmanOptimal Control of Diffusion Processes
Author: Vivek S. BorkarPublisher: Longman
ISBN:
Category : Control theory
Languages : en
Pages : 212
Book Description
Financial Modelling with Jump Processes
Author: Peter TankovPublisher: CRC Press
ISBN: 1135437947
Category : Business & Economics
Languages : en
Pages : 552
Book Description
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Advanced Financial Modelling
Author: Hansjörg AlbrecherPublisher: Walter de Gruyter
ISBN: 3110213133
Category : Finance
Languages : en
Pages : 465
Book Description
Annotation This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria