Autore: Jaykov Foukzon,Alexander Potapov,Elena Men-kova
Formato: Copertina flessibile
Pagine: 324
Data Pubblicazione: 2015-07-29
Edizione: 1
Lingua: English
Descrizione:
The book presents, a new large deviations principles (SLDP) of nonFreidlinWentzell type, corresponding to the solutions ColombeauItos SDE. Using SLDP we present a new approach to construct the Bellman function V(t,x) and optimal control u(t,x) directly,i.e.,without any reference to the Bellman equation, by way of using strong large deviations principle for the solutions ColombeauItos SDE. As important application such SLDP, the generic imperfect dynamic models of airtosurface missiles are given in addition to the related simple guidance law. A four, examples have been illustrated proposed approach and corresponding numerical simulations have been illustrated and analyzed. Using SLDP approach, Jumps phenomena, in financial markets, also is considered. Jumps phenomena, in financial markets is explained from the first principles, without any reference to Poisson jump process. In contrast with a phenomenological approach we explain such jumps phenomena from the first principles, without any reference to Poisson jump process.