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Hybrid Switching Diffusions
Buch
Buch
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Fachbuch
2009

Hybrid Switching Diffusions

Properties and Applications

ISBN
EAN
978-1-4419-1104-9
9781441911049
Artikel-Nr.
454QP26
Bestpreis-Garantie
Kostenloser Versand
Rabatt
-22.5
%
CHF 192.00
CHF
148.80
Anzahl
1
Maximale
Lieferzeit
33
Arbeitstage
Donnerstag
11.11.2021
speech-bubble-svg Beschreibung
This book encompasses the study of hybrid switching di usion processes and their applications. The word \hybrid" signi es the coexistence of c- tinuous dynamics and discrete events, which is one of the distinct features of the processes under consideration. Much of the book is concerned with the interactions of the continuous dynamics and the discrete events. Our motivations for studying such processes originate from emerging and - isting applications in wireless communications, signal processing, queueing networks, production planning, biological systems, ecosystems, nancial engineering, and modeling, analysis, and control and optimization of lar- scale systems, under the in uence of random environments. Displaying mixture distributions, switching di usions may be described by the associated operators or by systems of stochastic di erential eq- tions together with the probability transition laws of the switching actions. We either have Markov-modulated switching di usions or processes with continuous state-dependent switching. The latter turns out to be much more challenging to deal with. Viewing the hybrid di usions as a number of di usions joined together by the switching process, they may be se- ingly not much di erent from their di usion counterpart. Nevertheless, the underlying problems become more di cult to handle, especially when the switching processes depend on continuous states. The di culty is due to the interaction of the discrete and continuous processes and the tangled and hybrid information pattern.
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Stichwörter
Markov chain
Measure
continuous dynamics
continuous-state-dependent switching process
discrete event
hybrid system
recurrence
stability
switching diffusion
Zielgruppe
Research
Inhaltsverzeichnis
and Motivation.- Basic Properties, Recurrence, Ergodicity.- Switching Diffusion.- Recurrence.- Ergodicity.- Numerical Solutions and Approximation.- Numerical Approximation.- Numerical Approximation to Invariant Measures.- Stability.- Stability.- Stability of Switching ODEs.- Invariance Principles.- Two-time-scale Modeling and Applications.- Positive Recurrence: Weakly Connected Ergodic Classes.- Stochastic Volatility Using Regime-Switching Diffusions.- Two-Time-Scale Switching Jump Diffusions.
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Leserkritik

From the reviews:

“The book Hybrid Switching Diffusions provides a remarkable coverage of up-to-date, cutting-edge research results on switching diffusions. … As I read through the book, I was impressed by the vast number of topics covered as well as the level of technical details. … provides a thorough, up-to-date development of regime-switching diffusions. It provides a valuable reference for applied mathematicians and control scientists. The book can also be useful to researchers in other application fields who seek suitable mathematical models that may fit their own systems.” (Ruihua Liu, IEEE Control Systems Magazine, Vol. 30, October, 2010)

“This book is written for scientists, engineers, and financial analysts interested in processes described by the coexistence of discrete events and continuous dynamics. Among the topics treated are existence and uniqueness of solutions of switching diffusion equations, regularity, well posedness, recurrence, ergodicity, stability, numerical methods, and two-time-scale processes.” (IEEE Control Systems Magazine, Vol. 30, June, 2010)

Publikation
Vereinigte Staaten
26.10.2009
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Sprache
Englisch
book-svg Format
Hardcover
398 Seiten
23.5 cm
(Höhe)
15.5 cm
(Breite)
1670 g
(Gewicht)
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Kostenloser Versand: Schweiz & Liechtenstein
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