Stochastic Control of Hereditary Systems and Applications
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 memor...
Συγγραφή απο Οργανισμό/Αρχή: | |
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Άλλοι συγγραφείς: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
New York, NY :
Springer New York,
2008.
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Σειρά: | Stochastic Modelling and Applied Probability,
59 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Περίληψη: | 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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Φυσική περιγραφή: | XVIII, 406 p. online resource. |
ISBN: | 9780387758169 |
ISSN: | 0172-4568 ; |