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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Άλλοι συγγραφείς: Chang, Mou-Hsiung (Επιμελητής έκδοσης)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: New York, NY : Springer New York, 2008.
Σειρά:Stochastic Modelling and Applied Probability, 59
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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245 1 0 |a Stochastic Control of Hereditary Systems and Applications  |h [electronic resource] /  |c edited by Mou-Hsiung Chang. 
264 1 |a New York, NY :  |b Springer New York,  |c 2008. 
300 |a XVIII, 406 p.  |b online resource. 
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490 1 |a Stochastic Modelling and Applied Probability,  |x 0172-4568 ;  |v 59 
505 0 |a and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization. 
520 |a 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. 
650 0 |a Mathematics. 
650 0 |a Partial differential equations. 
650 0 |a Probabilities. 
650 0 |a Statistics. 
650 0 |a Control engineering. 
650 0 |a Robotics. 
650 0 |a Mechatronics. 
650 1 4 |a Mathematics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
650 2 4 |a Partial Differential Equations. 
650 2 4 |a Control, Robotics, Mechatronics. 
650 2 4 |a Statistical Theory and Methods. 
700 1 |a Chang, Mou-Hsiung.  |e editor. 
710 2 |a SpringerLink (Online service) 
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776 0 8 |i Printed edition:  |z 9780387758053 
830 0 |a Stochastic Modelling and Applied Probability,  |x 0172-4568 ;  |v 59 
856 4 0 |u http://dx.doi.org/10.1007/978-0-387-75816-9  |z Full Text via HEAL-Link 
912 |a ZDB-2-SMA 
950 |a Mathematics and Statistics (Springer-11649)