Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation
Floyd B. Hanson
Jan 2007 · Advances in Design and Control Book 13 · SIAM
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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.
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