Large deviations principles of Non-Freidlin-Wentzell type

ISBN-13: 9783659663796 / Angielski / Miękka / 2015 / 324 str.

Foukzon Jaykov;Potapov Alexander;Men'kova Elena

Opis

The book presents, a new large deviations principles (SLDP) of non-Freidlin-Wentzell type, corresponding to the solutions Colombeau-Itos 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 Colombeau-Itos SDE. As important application such SLDP, the generic imperfect dynamic models of air-to-surface 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.

O autorze

Jaykov Foukzon (born October 7, 1954). Nationality: Soviet Union. Education: Moscow State University (1976)Doctoral advisor: Lev Pontryagin. Soviet and Russian mathematician and physicist. Institutions: Russian Space Research Institute, Institute of Control Sciences of Russian Academy of Sciences, Central Aerohydrodynamic Institute(TsAGI)Russia.