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

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Теория вероятностей и математическая статистика
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Hanson B. Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation
Copyright - 2007 by the Society for Industrial and Applied Mathematics - 415 p
contents
Stochastic Jump and Diffusion Processes
Stochastic Integration for Diffusions
Stochastic Integration for Jumps
Stochastic Calculus for Jump-Diffusions
Stochastic Calculus for General Markov SDEs
Stochastic Dynamic Programming
Kolmogorov Equations
Computational Stochastic Control Methods
Stochastic Simulations
Applications in Financial Engineering
Applications in Mathematical Biology and Medicine
Applied Guide to Abstract Stochastic Processes
Appendix: Deterministic Optimal Control
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