Stochastic Control of Hereditary Systems and Applications
By addebook • Jul 14th, 2008 • Category: Mathematics •
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Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability)
Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability)
By Mou-Hsiung Chang
Publisher: Springer
Number Of Pages: 406
Publication Date: 2008-01-25
ISBN-10 / ASIN: 0387758054
ISBN-13 / EAN: 9780387758053
Binding: Hardcover
This research monograph develops the Hamilton-Jacobi-Bellman theory via dynamic programming principle for a class of optimal control problems for stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an infinite but fading memory. These equations represent a class of stochastic infinite-dimensional systems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering and economics/finance.
This monograph can be used as a research reference for researchers and advanced graduate students who have special interest in optimal control theory and applications of stochastic hereditary systems.
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