Stochastic Control of Hereditary Systems and Applications
Mou-Hsiung Chang
ISBN 10: 1441926054 ISBN 13: 9781441926050
Editorial: Springer-Verlag New York Inc., 2010
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Descripción
Descripción:
New copy - Usually dispatched within 7-11 working days. N° de ref. del artículo B9781441926050
Sinopsis:
This research monograph develops the Hamilton-Jacobi-Bellman theory via dynamic programming principle for a class of optimal control problems for stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an infinite but fading memory. These equations represent a class of stochastic infinite-dimensional systems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering and economics/finance. This monograph covers a very active research area. It can be used as a research reference for researchers and advanced graduate students who have special interest in optimal control theory and applications of stochastic hereditary systems.
De la contraportada:
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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Detalles bibliográficos
Título: Stochastic Control of Hereditary Systems and...
Editorial: Springer-Verlag New York Inc.
Año de publicación: 2010
Encuadernación: Paperback / softback
Condición: New