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.

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...

Table of Contents:

• and Summary
• Stochastic Hereditary Differential Equations
• Stochastic Calculus
• Optimal Classical Control
• Optimal Stopping
• Discrete Approximations
• Option Pricing
• Hereditary Portfolio Optimization.