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Floyd B. Hanson, Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation, SIAM Books: Advances in Design and Control Series, Order Code DC13, published 03 October 2007, 28 + 441 pages, plus online appendices and sample codes. (There is always a 30% off for members and complementary student membership is available at many institutions. In Europe and Asia, the book can be found, but without SIAM membership discount, at Cambridge University Press.) |
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- Online Sample Chapter 05: General SDEs with Space-Time Poisson, State-Dependence and Multi-Dimensions, 40 pages.
- Online Appendix A: Deterministic Optimal Control, 44 pages.
- Online Appendix B: Preliminaries: Probability and Analysis Results, 78 pages.
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Online Appendix C: MATLAB Code Listings: Generating Figures,
46 pages.
- MATLAB Source Codes Table of Contents.
- MATLAB Source Codes Directory, 27 files plus directory zipped.
- Post Publication Errata for Original 2007 Publication (11/29/2012). Please send notice of any additional errors or queries to hanson at uic dot edu.
Optional or Supplementary Texts and Other References:
- D. E. Kirk, Optimal Control Theory: An Introduction, Prentice-Hall, 1970. (former textbook on deterministic control, Dover reprinted 2004).
- R. F. Stengel, Optimal Control and Estimation, Dover Paperback, 1994 (About $18 including shipping at www.amazon.com, better choice for a text book for stochastic control part of course).
- A. E. Bryson and Y. C. Ho, Applied Optimal Control, Hemisphere/Wiley, 1975. (older, former textbook).
- B. D. O. Anderson and J. B. Moore, Optimal Control, Prentice-Hall, 1990.
- T. Mikosch, Elementary Stochastic Calculus with Finance in View, 1998. (elementary, but abstract, introduction to Brownian motions or Wiener processes).
- B. Øksendal, Stochastic Differential Equations: An Introduction with Applications, 1998. (elementary, but still quite abstract, introduction to Brownian motions or Wiener processes).
- Z. Schuss, Theory and Applications of Stochastic Differential Equations, 1980. (introduction to both white and colored stochastic processes).
- D. L. Snyder and M. I. Miller,
Random Point Processes in Time and Space, 2nd edition, Springer-Verlag,
New York, NY, 1991.
(more advanced Poisson process reference).
Other references:
- L. Arnold, Stochastic Differential Equations: Theory and Applications, 1974. (introduction to Wiener or diffusion processes).
- E. Çinlar, Introduction to Stochastic Processes, 1975. (good introduction to Poisson processes).
- Peter Dorato, Chaouki Abdallah (Contributor) and Vito Cerone (Contributor) Linear-Quadratic Control : An Introduction, Prentice Hall, ISBN: 0023299622 (www.amazon.com price: $42.00)
- Future Directions in Control in an Information Rich World: Report of the Panel on Future Directions in Control, Dynamics, and Systems, R. M. Murray (Editor), Society for Industrial and Applied Mathematics, Philadelphia, PA, July 2003.
- P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer-NY, New York, NY, 2003.
- Floyd B. Hanson, Computational Stochastic Control: Basic Foundations, Complexity and Techniques, Proceedings of 2003 Conference on Decision and Control, pp. 3024-3029, Invited Poster/Interactive Paper in a Control Education Session, 9-12 December 2003.
- Floyd B. Hanson, Techniques in Computational Stochastic Dynamic Programming, in Stochastic Digital Control System Techniques, within series Control and Dynamical Systems: Advances in Theory and Applications, vol. 76, (C. T. Leondes, Editor), Academic Press, New York, NY, pp. 103-162, Invited Book Chapter, April 1996.
- F. B. Hanson et al., Computational Stochastic Dynamic Programming Papers, including applications to bioeconomics, groundwater remediation, manufacturing, etc.
- F. B. Hanson et al., Computational Finance Papers, including optimal portfolio and market parameter estimation papers.
- F. B. Hanson et al., Stochastic Biomedical Papers, including extinction/disaster, fisheries harvesting, cancer, neurophysiology, etc. model papers.
- D. J. Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press, Cambridge, UK, 2004.
- Desmond J. Higham and Nicolas J. Higham, MATLAB Guide, SIAM, 2000.
- J. C. Hull, Options, Futures, & Other Derivatives, 4th Edition, Prentice-Hall, Englewood Cliffs, NJ, 2000.
- P. Jäckel, Monte Carlo Methods in Finance, John Wiley, New York, NY, 2002.
- S. Karlin and H. M. Taylor, A First Course in Stochastic Processes, 2nd ed., Academic Press, New York, NY, 1975.
- S. Karlin and H. M. Taylor, A Second Course in Stochastic Processes, Academic Press, New York, NY, 1981.
- P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, New York, NY, 1999.
- H. J. Kushner and P. G. Dupuis, Numerical Methods for Stochastic Control Problems in Continuous Time, 2nd ed., Springer-Verlag, New York, NY, 2001
- A. Lipton, Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach, World Scientific, Singapore, 2001.
- J. M. Steele, Stochastic Calculus and Financial Applications, Springer-NY, New York, NY, 2001.
- S. Stojanovic, Computational Financial Mathematics using MATHEMATICA: Optimal Trading in Stocks and Options, Birkhäuser, Boston, MA, 2002.
- H. M. Taylor and S. Karlin, An Introduction to Stochastic Modeling, 3rd ed., Academic Press, New York, NY, 1998. (Karlin and Taylor, "A Third Course".)
- H. C. Tuckwell, Elementary Applications of Probability Theory, Chapman and Hall, London, UK, 1995.
- P. Wilmott, Paul Wilmott on Quantitative Finance, vols. 1 & 2, John Wiley, New York, NY, 2000.
- Harry (Hui) Cheng, Ch All-In-One Language System,
An free
alternative, for academic use, to MATLAB and Numerical Recipes, is the
Ch Language System which combines the benefits of Unix, C and
MATLAB-clone in one complete self-contained package for MSwindows and
other operating systems. It is free for academic use, see the webpage
-
Download
Ch
(Developed by Prof. Harry Cheng of UC/Davis; he is a UIC Ph.D. in ME,
Gupta and Hanson were his primary and secondary advisors).
Grade Policy:
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Based on Individual Homework. Grades discounted if work to similar.
Class Homework Assignments (to be updated for Fall 2006) :
- Homework Set 1 Jump-Diffusions: Basic Properties, Due 04 October 2006.
- Homework Set 2 Stochastic Diffusion Integration Due 11 October 2006.
- Homework Set 3 Stochastic Jump Integration Due 18 October 2006.
- Homework Set 4 Jump-Diffusion SDEs, Due 8 November 2006.
- Homework Set 5 General SDEs, Due 20 November 2006.
- Homework Set 6 Deterministic Control, Due 29 November 2006.
- Homework Set 7 Stochastic Control, Due 08 December 2006.
Class Notes:
- Differential Dynamic Programing Notes
- Markov Chain Approximation Notes
- Computational Stochastic Dynamic Programming Chapter Preprint
- Lecture Summary for Spring 2000 Class
Control Tools
Email Comments or Questions to hanson at uic dot edu