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Stochastic Control of Hereditary Systems and Applications

Mou-Hsiung Chang
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      This 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 can be used as a reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.
      Format: Paperback / softback CONTRIBUTORS: Mou-Hsiung Chang EAN: 9781441926050 COUNTRY: United States PAGES: WEIGHT: 646 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag New York Inc. DATE PUBLISHED: 2010-11-23 CITY: GENRE: MATHEMATICS / Differential Equations / General, MATHEMATICS / Probability & Statistics / General, TECHNOLOGY & ENGINEERING / Automation WIDTH: 155 cm SPINE:

      Book Themes:

      Differential calculus and equations, Probability and statistics, Stochastics, Automatic control engineering

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      This 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 can be used as a reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.
      Format: Paperback / softback CONTRIBUTORS: Mou-Hsiung Chang EAN: 9781441926050 COUNTRY: United States PAGES: WEIGHT: 646 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag New York Inc. DATE PUBLISHED: 2010-11-23 CITY: GENRE: MATHEMATICS / Differential Equations / General, MATHEMATICS / Probability & Statistics / General, TECHNOLOGY & ENGINEERING / Automation WIDTH: 155 cm SPINE:

      Book Themes:

      Differential calculus and equations, Probability and statistics, Stochastics, Automatic control engineering

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      Be the first to write a review
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