Stochastic Control of Hereditary Systems and Applications

Mou-Hsiung Chang

ISBN 10: 1441926054 / ISBN 13: 9781441926050

Verlag: Springer-Verlag New York Inc., 2010

New copy - Usually dispatched within 7-11 working days. Bestandsnummer des Verkäufers B9781441926050

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.

Von der hinteren Coverseite:

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.

Bibliografische Details

Titel: Stochastic Control of Hereditary Systems and...
Verlag: Springer-Verlag New York Inc.
Erscheinungsdatum: 2010
Einband: Paperback / softback
Zustand: New