Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer. This book was released on 2009-09-02 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-11-22 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.

Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer. This book was released on 2019-04-17 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Download or read book Stochastic Processes Finance And Control A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.

Download or read book Stochastic Processes in Cell Biology written by Paul C. Bressloff and published by Springer Nature. This book was released on 2022-01-04 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops the theory of continuous and discrete stochastic processes within the context of cell biology. In the second edition the material has been significantly expanded, particularly within the context of nonequilibrium and self-organizing systems. Given the amount of additional material, the book has been divided into two volumes, with volume I mainly covering molecular processes and volume II focusing on cellular processes. A wide range of biological topics are covered in the new edition, including stochastic ion channels and excitable systems, molecular motors, stochastic gene networks, genetic switches and oscillators, epigenetics, normal and anomalous diffusion in complex cellular environments, stochastically-gated diffusion, active intracellular transport, signal transduction, cell sensing, bacterial chemotaxis, intracellular pattern formation, cell polarization, cell mechanics, biological polymers and membranes, nuclear structure and dynamics, biological condensates, molecular aggregation and nucleation, cellular length control, cell mitosis, cell motility, cell adhesion, cytoneme-based morphogenesis, bacterial growth, and quorum sensing. The book also provides a pedagogical introduction to the theory of stochastic and nonequilibrium processes – Fokker Planck equations, stochastic differential equations, stochastic calculus, master equations and jump Markov processes, birth-death processes, Poisson processes, first passage time problems, stochastic hybrid systems, queuing and renewal theory, narrow capture and escape, extreme statistics, search processes and stochastic resetting, exclusion processes, WKB methods, large deviation theory, path integrals, martingales and branching processes, numerical methods, linear response theory, phase separation, fluctuation-dissipation theorems, age-structured models, and statistical field theory. This text is primarily aimed at graduate students and researchers working in mathematical biology, statistical and biological physicists, and applied mathematicians interested in stochastic modeling. Applied probabilists should also find it of interest. It provides significant background material in applied mathematics and statistical physics, and introduces concepts in stochastic and nonequilibrium processes via motivating biological applications. The book is highly illustrated and contains a large number of examples and exercises that further develop the models and ideas in the body of the text. It is based on a course that the author has taught at the University of Utah for many years.

Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

Download or read book Theory and Applications of Stochastic Processes written by Zeev Schuss and published by Springer Science & Business Media. This book was released on 2009-12-09 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic processes and diffusion theory are the mathematical underpinnings of many scientific disciplines, including statistical physics, physical chemistry, molecular biophysics, communications theory and many more. Many books, reviews and research articles have been published on this topic, from the purely mathematical to the most practical. This book offers an analytical approach to stochastic processes that are most common in the physical and life sciences, as well as in optimal control and in the theory of filltering of signals from noisy measurements. Its aim is to make probability theory in function space readily accessible to scientists trained in the traditional methods of applied mathematics, such as integral, ordinary, and partial differential equations and asymptotic methods, rather than in probability and measure theory.

Download or read book Stochastic Calculus of Variations written by Yasushi Ishikawa and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-03-07 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a concise introduction to the stochastic calculus of variations (also known as Malliavin calculus) for processes with jumps. It is written for researchers and graduate students who are interested in Malliavin calculus for jump processes. In this book "processes with jumps" includes both pure jump processes and jump-diffusions. The author provides many results on this topic in a self-contained way; this also applies to stochastic differential equations (SDEs) "with jumps". The book also contains some applications of the stochastic calculus for processes with jumps to the control theory and mathematical finance. Namely, asymptotic expansions functionals related with financial assets of jump-diffusion are provided based on the theory of asymptotic expansion on the Wiener–Poisson space. Solving the Hamilton–Jacobi–Bellman (HJB) equation of integro-differential type is related with solving the classical Merton problem and the Ramsey theory. The field of jump processes is nowadays quite wide-ranging, from the Lévy processes to SDEs with jumps. Recent developments in stochastic analysis have enabled us to express various results in a compact form. Up to now, these topics were rarely discussed in a monograph. Contents: Preface Preface to the second edition Introduction Lévy processes and Itô calculus Perturbations and properties of the probability law Analysis of Wiener–Poisson functionals Applications Appendix Bibliography List of symbols Index

Download or read book Numerical Methods for Stochastic Control Problems in Continuous Time written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.

Download or read book Applied Stochastic Analysis written by M. H. A. Davis and published by CRC Press. This book was released on 1991 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of 22 articles based on papers presented at a workshop held at Imperial College, London, April 1989. They concern applications of stochastic analysis--the theory of stochastic integration, martingales and Markov processes--to a variety of applied problems centered around optimization of dynamical systems under uncertainty. Topics covered include characterization and approximation for stochastic system models, problems in stochastic control theory, and various facets of nonlinear filtering theory and system identification. Annotation copyrighted by Book News, Inc., Portland, OR

Download or read book Stochastic Flows and Jump Diffusions written by Hiroshi Kunita and published by Springer. This book was released on 2019-03-26 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

Download or read book Stochastic Modelling of Reaction Diffusion Processes written by Radek Erban and published by Cambridge University Press. This book was released on 2020-01-30 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This practical introduction to stochastic reaction-diffusion modelling is based on courses taught at the University of Oxford. The authors discuss the essence of mathematical methods which appear (under different names) in a number of interdisciplinary scientific fields bridging mathematics and computations with biology and chemistry. The book can be used both for self-study and as a supporting text for advanced undergraduate or beginning graduate-level courses in applied mathematics. New mathematical approaches are explained using simple examples of biological models, which range in size from simulations of small biomolecules to groups of animals. The book starts with stochastic modelling of chemical reactions, introducing stochastic simulation algorithms and mathematical methods for analysis of stochastic models. Different stochastic spatio-temporal models are then studied, including models of diffusion and stochastic reaction-diffusion modelling. The methods covered include molecular dynamics, Brownian dynamics, velocity jump processes and compartment-based (lattice-based) models.

Download or read book Risk Management for Pension Funds written by Francesco Menoncin and published by Springer Nature. This book was released on 2021-02-09 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a consistent and complete framework for studying the risk management of a pension fund. It gives the reader the opportunity to understand, replicate and widen the analysis. To this aim, the book provides all the tools for computing the optimal asset allocation in a dynamic framework where the financial horizon is stochastic (longevity risk) and the investor's wealth is not self-financed. This tutorial enables the reader to replicate all the results presented. The R codes are provided alongside the presentation of the theoretical framework. The book explains and discusses the problem of hedging longevity risk even in an incomplete market, though strong theoretical results about an incomplete framework are still lacking and the problem is still being discussed in most recent literature.