Stochastic Control of Hereditary Systems and Applications (Hardcover, 2008 ed.)

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.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Stochastic Modelling and Applied Probability, 59
Release date:	2008
First published:	2008
Authors:	Mou-Hsiung Chang
Dimensions:	235 x 155 x 23mm (L x W x T)
Format:	Hardcover
Pages:	406
Edition:	2008 ed.
ISBN-13:	978-0-387-75805-3
Categories:	Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
LSN:	0-387-75805-4
Barcode:	9780387758053

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