Large deviations principles of Non-Freidlin-Wentzell type

Jaykov Foukzon (u. a.)

ISBN 10: 3659663794 / ISBN 13: 9783659663796

Edité par LAP LAMBERT Academic Publishing, 2015

Large deviations principles of Non-Freidlin-Wentzell type | Jaykov Foukzon (u. a.) | Taschenbuch | 324 S. | Englisch | 2015 | LAP LAMBERT Academic Publishing | EAN 9783659663796 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. N° de réf. du vendeur 104291626

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.

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.

Détails bibliographiques

Titre : Large deviations principles of ...
Éditeur : LAP LAMBERT Academic Publishing
Date d'édition : 2015
Reliure : Taschenbuch
Etat : Neu