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Providing an introduction to stochastic optimal control in in?nite dimension, this book gives a complete account of the theory of second-order HJB equations in in?nite-dimensional …
This monograph aims to promote original mathematical methods to determine the invariant measure of two-dimensional random walks in domains with boundaries. Such processes arise in …
The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems …
Providing an introduction to stochastic optimal control in in?nite dimension, this book gives a complete account of the theory of second-order HJB equations in in?nite-dimensional …
Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena. …
Offering the first comprehensive treatment of the theory of random measures, this book has a very broad scope, ranging from basic properties of Poisson and related processes to the …
This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and …
This research monograph brings together, for the first time, the varied literature on Yosida approximations of stochastic differential equations (SDEs) in infinite dimensions and …
A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the “lent particle method” it is based on perturbation …
This monograph aims to promote original mathematical methods to determine the invariant measure of two-dimensional random walks in domains with boundaries. Such processes arise in …