Listing 1 - 7 of 7 |
Sort by
|
Choose an application
Jump processes. --- Stochastic control theory. --- Control theory --- Stochastic processes --- Processes, Jump --- Markov processes
Choose an application
During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Levy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.Topics covered in this book include: jump-diffusion models, Levy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.
Stochastic processes --- Finance --- Jump processes. --- Finances --- Processus de sauts --- Mathematical models. --- Modèles mathématiques --- Jump processes --- Mathematical models --- mathematische modellen, toegepast op economie --- stochastische modellen --- opties --- risk management --- -Jump processes --- 332.01519233 --- Processes, Jump --- Markov processes --- Funding --- Funds --- Economics --- Currency question --- Modèles mathématiques --- Finance - Mathematical models
Choose an application
Approximation of Large-Scale Dynamical Systems
Probabilities. --- 519.21 --- #WWIS:STAT --- 519.21 Probability theory. Stochastic processes --- Probability theory. Stochastic processes --- Probability theory --- Probabilities --- Jump processes --- Markov processes --- Ergodic theory
Choose an application
This book presents recent research work on stochastic jump hybrid systems. Specifically, the considered stochastic jump hybrid systems include Markovian jump Ito stochastic systems, Markovian jump linear-parameter-varying (LPV) systems, Markovian jump singular systems, Markovian jump two-dimensional (2-D) systems, and Markovian jump repeated scalar nonlinear systems. Some sufficient conditions are first established respectively for the stability and performances of those kinds of stochastic jump hybrid systems in terms of solution of linear matrix inequalities (LMIs). Based on the derived analysis conditions, the filtering and control problems are addressed. The book presents up-to-date research developments and novel methodologies on stochastic jump hybrid systems. The contents can be divided into two parts: the first part is focused on robust filter design problem, while the second part is put the emphasis on robust control problem. These methodologies provide a framework for stability and performance analysis, robust controller design, and robust filter design for the considered systems. Solutions to the design problems are presented in terms of LMIs. The book is a timely reflection of the developing area of filtering and control theories for Markovian jump hybrid systems with various kinds of imperfect information. It is a collection of a series of latest research results and therefore serves as a useful textbook for senior and/or graduate students who are interested in knowing 1) the state-of-the-art of linear filtering and control areas, and 2) recent advances in stochastic jump hybrid systems. The readers will also benefit from some new concepts, new models and new methodologies with practical significance in control engineering and signal processing.
Mechanical Engineering - General --- Mechanical Engineering --- Engineering & Applied Sciences --- Jump processes. --- Hybrid systems. --- Dynamic systems, Hybrid --- Hybrid dynamic systems --- Processes, Jump --- System theory --- Markov processes --- Systems theory. --- Control and Systems Theory. --- Systems Theory, Control. --- Control engineering. --- System theory. --- Systems, Theory of --- Systems science --- Science --- Control engineering --- Control equipment --- Control theory --- Engineering instruments --- Automation --- Programmable controllers --- Philosophy
Choose an application
This book focuses on the stability analysis of Markovian jump systems (MJSs) with various settings and discusses its applications in several different areas. It also presents general definitions of the necessary concepts and an overview of the recent developments in MJSs. Further, it addresses the general robust problem of Markovian jump linear systems (MJLSs), the asynchronous stability of a class of nonlinear systems, the robust adaptive control scheme for a class of nonlinear uncertain MJSs, the practical stability of MJSs and its applications as a modelling tool for networked control systems, Markovian-based control for wheeled mobile manipulators and the jump-linear-quadratic (JLQ) problem of a class of continuous-time MJLSs. It is a valuable resource for researchers and graduate students in the field of control theory and engineering.
Engineering. --- System theory. --- Mathematical models. --- Control engineering. --- Control. --- Systems Theory, Control. --- Mathematical Modeling and Industrial Mathematics. --- Jump processes. --- Processes, Jump --- Markov processes --- Systems theory. --- Control and Systems Theory. --- Models, Mathematical --- Simulation methods --- Systems, Theory of --- Systems science --- Science --- Control engineering --- Control equipment --- Control theory --- Engineering instruments --- Automation --- Programmable controllers --- Philosophy
Choose an application
The book addresses the control issues such as stability analysis, control synthesis and filter design of Markov jump systems with the above three types of TPs, and thus is mainly divided into three parts. Part I studies the Markov jump systems with partially unknown TPs. Different methodologies with different conservatism for the basic stability and stabilization problems are developed and compared. Then the problems of state estimation, the control of systems with time-varying delays, the case involved with both partially unknown TPs and uncertain TPs in a composite way are also tackled. Part II deals with the Markov jump systems with piecewise homogeneous TPs. Methodologies that can effectively handle control problems in the scenario are developed, including the one coping with the asynchronous switching phenomenon between the currently activated system mode and the controller/filter to be designed. Part III focuses on the Markov jump systems with memory TPs. The concept of σ-mean square stability is proposed such that the stability problem can be solved via a finite number of conditions. The systems involved with nonlinear dynamics (described via the Takagi-Sugeno fuzzy model) are also investigated. Numerical and practical examples are given to verify the effectiveness of the obtained theoretical results. Finally, some perspectives and future works are presented to conclude the book.
Mechanical Engineering - General --- Mechanical Engineering --- Engineering & Applied Sciences --- Jump processes. --- Processes, Jump --- Markov processes --- Engineering. --- Systems theory. --- Control and Systems Theory. --- Complexity. --- Systems Theory, Control. --- Applications of Nonlinear Dynamics and Chaos Theory. --- Construction --- Industrial arts --- Technology --- Control engineering. --- Computational complexity. --- System theory. --- Statistical physics. --- Physics --- Mathematical statistics --- Systems, Theory of --- Systems science --- Science --- Complexity, Computational --- Electronic data processing --- Machine theory --- Control engineering --- Control equipment --- Control theory --- Engineering instruments --- Automation --- Programmable controllers --- Statistical methods --- Philosophy
Choose an application
This book provides robust analysis and synthesis tools for Markovian jump systems in the finite-time domain with specified performances. It explores how these tools can make the systems more applicable to fields such as economic systems, ecological systems and solar thermal central receivers, by limiting system trajectories in the desired bound in a given time interval. Robust Control for Discrete-Time Markovian Jump Systems in the Finite-Time Domain focuses on multiple aspects of finite-time stability and control, including: finite-time H-infinity control; finite-time sliding mode control; finite-time multi-frequency control; finite-time model predictive control; and high-order moment finite-time control for multi-mode systems and also provides many methods and algorithms to solve problems related to Markovian jump systems with simulation examples that illustrate the design procedure and confirm the results of the methods proposed. The thorough discussion of these topics makes the book a useful guide for researchers, industrial engineers and graduate students alike, enabling them systematically to establish the modeling, analysis and synthesis for Markovian jump systems in the finite-time domain.
Control engineering. --- System theory. --- Control theory. --- Stochastic processes. --- Robust statistics. --- Control and Systems Theory. --- Systems Theory, Control . --- Stochastic Systems and Control. --- System Robustness. --- Statistics, Robust --- Distribution (Probability theory) --- Mathematical statistics --- Random processes --- Probabilities --- Dynamics --- Machine theory --- Systems, Theory of --- Systems science --- Science --- Control engineering --- Control equipment --- Control theory --- Engineering instruments --- Automation --- Programmable controllers --- Philosophy --- Jump processes. --- Markov processes. --- Time-domain analysis. --- Analysis, Time-domain --- System analysis --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- Stochastic processes --- Processes, Jump --- Markov processes
Listing 1 - 7 of 7 |
Sort by
|