Large deviations principles of Non-Freidlin-Wentzell type - Couverture souple

Foukzon, Jaykov; Potapov, Alexander; Men’kova, Elena

 
9783659663796: Large deviations principles of Non-Freidlin-Wentzell type
Couverture souple
ISBN 10 : 3659663794 ISBN 13 : 9783659663796
Editeur : LAP LAMBERT Academic Publishing, 2015

Synopsis

The book presents, a new large deviations principles (SLDP) of non-Freidlin-Wentzell type, corresponding to the solutions Colombeau-Ito’s SDE. Using SLDP we present a new approach to construct the Bellman function V(t,x) and optimal control u(t,x) directly,i.e.,without any reference to the Bellman equation, by way of using strong large deviations principle for the solutions Colombeau-Ito’s SDE. As important application such SLDP, the generic imperfect dynamic models of air-to-surface missiles are given in addition to the related simple guidance law. A four, examples have been illustrated proposed approach and corresponding numerical simulations have been illustrated and analyzed. Using SLDP approach, Jumps phenomena, in financial markets, also is considered. Jumps phenomena, in financial markets is explained from the first principles, without any reference to Poisson jump process. In contrast with a phenomenological approach we explain such jumps phenomena from the first principles, without any reference to Poisson jump process.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The book presents, a new large deviations principles (SLDP) of non-Freidlin-Wentzell type, corresponding to the solutions Colombeau-Ito’s SDE. Using SLDP we present a new approach to construct the Bellman function V(t,x) and optimal control u(t,x) directly,i.e.,without any reference to the Bellman equation, by way of using strong large deviations principle for the solutions Colombeau-Ito’s SDE. As important application such SLDP, the generic imperfect dynamic models of air-to-surface missiles are given in addition to the related simple guidance law. A four, examples have been illustrated proposed approach and corresponding numerical simulations have been illustrated and analyzed. Using SLDP approach, Jumps phenomena, in financial markets, also is considered. Jumps phenomena, in financial markets is explained from the first principles, without any reference to Poisson jump process. In contrast with a phenomenological approach we explain such jumps phenomena from the first principles, without any reference to Poisson jump process.

Biographie de l'auteur

Jaykov Foukzon (born October 7, 1954). Nationality: Soviet Union. Education: Moscow State University (1976)Doctoral advisor: Lev Pontryagin. Soviet and Russian mathematician and physicist. Institutions: Russian Space Research Institute, Institute of Control Sciences of Russian Academy of Sciences, Central Aerohydrodynamic Institute(TsAGI)Russia.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2015
Langue
anglais
ISBN 10 
3659663794
ISBN 13 
9783659663796
Reliure
Broché
Nombre de pages
324
Coordonnées du fabricant
non disponible
Personne responsable
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