Placeholder text

Go to cart

On Fractional Brownian Motion with Application to SMP

By Ikram Hamed

On Fractional Brownian Motion with Application to SMP Mathematics

On Fractional Brownian Motion with Application to SMP

0 - Default Title
Description
This book extends Pontryagin's stochastic maximum principle to systems driven by fractional Brownian motion . It explores two main topics. The first deals with a risk-neutral optimal control problem, where the convex perturbation method is used to derive optimality conditions. The second topic focuses on risk-sensitive control, formulated via backward stochastic differential equation . Here, the goal is to minimize a convex disutility function of cost. The study links risk-neutral and risk-sensitive formulations, establishes the equivalence between exponential utility and quadratic BSDEs, and transforms the problem into a standard risk-neutral form to derive a stochastic maximum principle.
Product details
Binding:
Paperback
Number of Pages:
100
Release Date:
2025-11-18
Publication Date:
2025-11-18
Publisher:
GlobeEdit
Languages:
Original: English
ISBN10:
6209035949
ISBN13:
9786209035944
GPSR Manufacturer Reference:
[email protected]
Weight:
167 g
Height:
150 cm
Width:
220 cm
Thickness:
6 cm
Buy on Amazon
Currently sold out