Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability, Band 59) - Softcover

Buch 16 von 30: Stochastic Modelling and Applied Probability

Chang, Mou-Hsiung

 
9781441926050: Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability, Band 59)
Softcover
ISBN 10: 1441926054 ISBN 13: 9781441926050
Verlag: Springer, 2010

Inhaltsangabe

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 covers a very active research area. It 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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This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class of optimal control problems for stochastic hereditary differential systems. It is driven by a standard Brownian motion and with a bounded memory or an infinite but fading memory.

The optimal control problems treated in this book include optimal classical control and optimal stopping with a bounded memory and over finite time horizon.

This book can be used as an introduction for researchers and graduate students who have a special interest in learning and entering the research areas in stochastic control theory with memories. Each chapter contains a summary.

Mou-Hsiung Chang is a program manager at the Division of Mathematical Sciences for the U.S. Army Research Office.

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
1441926054
ISBN 13 
9781441926050
Einband
Taschenbuch
Anzahl der Seiten
424
Kontakt zum Hersteller
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Weitere beliebte Ausgaben desselben Titels

9780387758053: Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability, 59, Band 59)

Vorgestellte Ausgabe

ISBN 10:  0387758054 ISBN 13:  9780387758053
Verlag: Springer, 2008
Hardcover