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Hanson, Floyd B.
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This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.
The book emphasizes modeling and problem solving and presents ...
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Philadelphia: Society for Industrial and Applied Mathematics, 2007
e20450709
eBooks Universitas Indonesia Library
