Stochastic Control of Hereditary Systems and Applications

• 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: 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...

Πίνακας περιεχομένων:

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