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

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by Floyd B. Hanson


2007 / xxviii + 441 pages / Softcover / ISBN 978-0-898716-33-7 /List Price $117.50 / SIAM Member Price $82.25 / Order Code DC13

Keywords: stochastic process, stochastic optimal control, computational stochastic dynamic programming, financial engineering applications, computational biomedicine applications

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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.

The book emphasizes modeling and problem solving and presents sample applications in financial engineering and biomedical modeling. Computational and analytic exercises and examples are included throughout. While classical applied mathematics is used in most of the chapters to set up systematic derivations and essential proofs, the final chapter bridges the gap between the applied and the abstract worlds to give readers an understanding of the more abstract literature on jump diffusions.

Appendices are available on the book's supplementary Web page.

This book is written for graduate students in science and engineering who seek to construct models for scientific applications subject to uncertain environments. Mathematical modelers and researchers in applied mathematics, computational science, and engineering will also find it useful, as will practitioners of financial engineering who need fast and efficient solutions to stochastic problems.

About the Author
Floyd B. Hanson is Professor Emeritus in the Department of Mathematics, Statistics, and Computer Science at the University of Illinois, Chicago. He received the Premier UIC Award for Excellence in Teaching for 2001 and has published approximately 100 research papers.

ISBN 9780898716337

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