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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

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