Stochastic Control of Hereditary Systems and Applications
Author | : Mou-Hsiung Chang |
Publisher | : Springer Science & Business Media |
Total Pages | : 418 |
Release | : 2008-01-03 |
ISBN-10 | : 9780387758169 |
ISBN-13 | : 038775816X |
Rating | : 4/5 (69 Downloads) |
Download or read book Stochastic Control of Hereditary Systems and Applications written by Mou-Hsiung Chang and published by Springer Science & Business Media. This book was released on 2008-01-03 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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 reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.