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

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

Written for graduate students in science and engineering, this book 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. Topics covered include stochastic optimal control, computational stochastic dynamic programming, financial engineering applications, and computational biomedicine applications.

MATLAB is introduced and used to solve numerous examples in the book. In addition, a set of MATLAB M-files is available for download.

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About This Book

Floyd B. Hanson, University of Illinois

SIAM, 2007

ISBN: 978-0-898716-33-7
Language: English