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02888nam a22005535i 4500 |
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|a 9780387758169
|9 978-0-387-75816-9
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|a 10.1007/978-0-387-75816-9
|2 doi
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|d GrThAP
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|a QA273.A1-274.9
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|a QA274-274.9
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|a MAT029000
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|a 519.2
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|a Stochastic Control of Hereditary Systems and Applications
|h [electronic resource] /
|c edited by Mou-Hsiung Chang.
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|a New York, NY :
|b Springer New York,
|c 2008.
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|a XVIII, 406 p.
|b online resource.
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|a text
|b txt
|2 rdacontent
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|a computer
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|2 rdamedia
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|a online resource
|b cr
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|a text file
|b PDF
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|a Stochastic Modelling and Applied Probability,
|x 0172-4568 ;
|v 59
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|a and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization.
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|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.
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|a Mathematics.
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|a Partial differential equations.
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| 650 |
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|a Probabilities.
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| 650 |
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|a Statistics.
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| 650 |
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|a Control engineering.
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|a Robotics.
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|a Mechatronics.
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|a Mathematics.
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| 650 |
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|a Probability Theory and Stochastic Processes.
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| 650 |
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|a Partial Differential Equations.
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| 650 |
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|a Control, Robotics, Mechatronics.
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| 650 |
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|a Statistical Theory and Methods.
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| 700 |
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|a Chang, Mou-Hsiung.
|e editor.
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| 710 |
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|a SpringerLink (Online service)
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|t Springer eBooks
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| 776 |
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|i Printed edition:
|z 9780387758053
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| 830 |
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|a Stochastic Modelling and Applied Probability,
|x 0172-4568 ;
|v 59
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| 856 |
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|u http://dx.doi.org/10.1007/978-0-387-75816-9
|z Full Text via HEAL-Link
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| 912 |
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
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