Stochastic Control of Hereditary Systems and Applications

• Corporate Author: SpringerLink (Online service)
• Other Authors: Chang, Mou-Hsiung (Editor)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2008.
• Series: Stochastic Modelling and Applied Probability, 59
• Subjects: Mathematics.; Partial differential equations.; Probabilities.; Statistics.; Control engineering.; Robotics.; Mechatronics.; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Control, Robotics, Mechatronics.; Statistical Theory and Methods.
• Physical Description: XVIII, 406 p. online resource.
• ISBN: 9780387758169
• ISSN: 0172-4568 ;

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.