Applied Stochastic Processes and Control for Jump-Diffusions

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Applied Stochastic Processes and Control for Jump-Diffusions is written by Floyd B. Hanson and published by SIAM. It's available with International Standard Book Number or ISBN identification 0898718635 (ISBN 10) and 9780898718638 (ISBN 13).

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.