Stochastic Control of Hereditary Systems and Applications
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.
| Autor: | Chang, Mou-Hsiung |
|---|---|
| ISBN: | 9780387758053 |
| Sprache: | Englisch |
| Seitenzahl: | 406 |
| Produktart: | Gebunden |
| Verlag: | Springer US |
| Veröffentlicht: | 23.01.2008 |
| Schlagworte: | Applications Brownian motion Chang Control Hereditary Stochastic Stochastic calculus partial differential equations |