Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions
Author: Bernt Øksendal
Publisher: Springer Science & Business Media
Total Pages: 263
Release: 2007-04-26
Genre: Mathematics
ISBN: 3540698264

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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.

Applied Stochastic Processes and Control for Jump-Diffusions

Applied Stochastic Processes and Control for Jump-Diffusions
Author: Floyd B. Hanson
Publisher: SIAM
Total Pages: 472
Release: 2007-01-01
Genre: Mathematics
ISBN: 9780898718638

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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.

Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions
Author: Bernt Øksendal
Publisher: Springer
Total Pages: 262
Release: 2009-09-02
Genre: Mathematics
ISBN: 9783540834861

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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.

Stochastic Processes and Control for Jump-Diffusions

Stochastic Processes and Control for Jump-Diffusions
Author: Floyd B. Hanson
Publisher:
Total Pages: 44
Release: 2007
Genre:
ISBN:

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An applied compact introductory survey of Markov stochastic processes and control in continuous time is presented. The presentation is in tutorial stages, beginning with deterministic dynamical systems for contrast and continuing on to perturbing the deterministic model with diffusions using Wiener processes. Then jump perturbations are added using simple Poisson processes constructing the theory of simple jump-diffusions. Next, marked-jump-diffusions are treated using compound Poisson processes to include random marked jump-amplitudes in parallel with the equivalent Poisson random measure formulation. Otherwise, the approach is quite applied, using basic principles with no abstractions beyond Poisson random measure. This treatment is suitable for those in classical applied mathematics, physical sciences, quantitative finance and engineering, but have trouble getting started with the abstract measure-theoretic literature. The approach here builds upon the treatment of continuous functions in the regular calculus and associated ordinary differential equations by adding non-smooth and jump discontinuities to the model. Finally, the stochastic optimal control of marked-jump-diffusions is developed, emphasizing the underlying assumptions. The survey concludes with applications in biology and finance, some of which are canonical, dimension reducible problems and others are genuine nonlinear problems.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott
Author: Samuel N Cohen
Publisher: World Scientific
Total Pages: 605
Release: 2012-08-10
Genre: Mathematics
ISBN: 9814483915

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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.

Applied Stochastic Differential Equations

Applied Stochastic Differential Equations
Author: Simo Särkkä
Publisher: Cambridge University Press
Total Pages: 327
Release: 2019-05-02
Genre: Business & Economics
ISBN: 1316510085

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With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Theory and Applications of Stochastic Processes

Theory and Applications of Stochastic Processes
Author: Zeev Schuss
Publisher: Springer Science & Business Media
Total Pages: 486
Release: 2009-12-09
Genre: Mathematics
ISBN: 1441916059

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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.

Stochastic Processes in Cell Biology

Stochastic Processes in Cell Biology
Author: Paul C. Bressloff
Publisher: Springer Nature
Total Pages: 773
Release: 2022-01-04
Genre: Mathematics
ISBN: 3030725154

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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.

Applied Stochastic Control of Jump Diffusions

Applied Stochastic Control of Jump Diffusions
Author: Bernt Øksendal
Publisher: Springer
Total Pages: 439
Release: 2019-04-17
Genre: Business & Economics
ISBN: 3030027813

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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.

Stochastic Processes and Applications

Stochastic Processes and Applications
Author: Grigorios A. Pavliotis
Publisher: Springer
Total Pages: 345
Release: 2014-11-19
Genre: Mathematics
ISBN: 1493913239

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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.