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Cover Art
Author Situ, Rong.

Title Reflecting stochastic differential equations with jumps and applications / Situ Rong.

Published Boca Raton : Chapman & Hall/CRC, [2000]


Location Call No. Status
Physical description 205 pages ; 24 cm.
Series Chapman & Hall/CRC research notes in mathematics series ; 408.
Chapman & Hall/CRC research notes in mathematics series ; 408.
Bibliography Includes bibliographical references (pages 197-205).
Contents 1. Some Recent Results on SDE with Jumps in 1-Dimensional Space -- 2. Skorohod Problems with Given Cadlag Functions -- 3. Reflecting Stochastic Differential Equations with Jumps -- 4. Properties of Solutions to RSDE with Jumps -- 5. Non-linear Filtering of RSDE -- 6. Stochastic Control -- 7. Stochastic Population Control.
Summary Reflecting stochastic differential equations (RSDE) with jumps prove useful in a variety of applications. This book systematically presents the general theory and applications of RSDEs. The author derives the nonlinear filtering and Zakai equations, the Maximum Principle for stochastic optimal control, and the necessary and sufficient conditions for the existence of optimal control. He also develops the applications to the stochastic population control problem, the neurophysiological control problem. Most of the results presented are new and published here for the first time.
Subject Stochastic differential equations.
Jump processes.
ISBN 1584881259 (acid-free paper)