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| Material Type: | Internet resource |
|---|---|
| Document Type: | Book, Internet Resource |
| All Authors / Contributors: |
George Yin; Chao Zhu, Ph. D. |
| ISBN: | 9781441911049 1441911049 |
| OCLC Number: | 436030853 |
| Description: | xviii, 395 p. : ill. ; 24 cm. |
| Contents: | Preface.-Introduction and Motivation.-Switching Diffusion.- Recurrence.-Ergodicity.-Numerical Approximation.-Numerical Approximation to Invariant Measures.-Stability.-Stability of Switching ODE.-Invariance Principles.-Positive Recurrence: Multi-ergodic-class of Switching Processes.-Stochastic Volatility Using Regime-switching Diffusions.- Two-time-scale Switching Jump-diffusions.-Appendix.-References. |
| Series Title: | Stochastic modelling and applied probability, 63. |
| Responsibility: | G. George Yin, Chao Zhu. |
| More information: |
Abstract:
Reviews
Publisher Synopsis
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) Read more...