Stochastic Control of Hereditary Systems and Applications
Chang, Mou-Hsiung.
Stochastic Control of Hereditary Systems and Applications [recurso electrónico] / edited by Mou-Hsiung Chang. - online resource. - Stochastic Modelling and Applied Probability, 59 0172-4568 ; . - Stochastic Modelling and Applied Probability, 59 .
and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization.
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.
9780387758169 99780387758169
10.1007/978-0-387-75816-9 doi
MATHEMATICS.
DIFFERENTIAL EQUATIONS, PARTIAL.
DISTRIBUTION (PROBABILITY THEORY).
MATHEMATICAL STATISTICS.
MATHEMATICS.
PROBABILITY THEORY AND STOCHASTIC PROCESSES.
PARTIAL DIFFERENTIAL EQUATIONS.
CONTROL, ROBOTICS, MECHATRONICS.
STATISTICAL THEORY AND METHODS.
519.2
Stochastic Control of Hereditary Systems and Applications [recurso electrónico] / edited by Mou-Hsiung Chang. - online resource. - Stochastic Modelling and Applied Probability, 59 0172-4568 ; . - Stochastic Modelling and Applied Probability, 59 .
and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization.
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.
9780387758169 99780387758169
10.1007/978-0-387-75816-9 doi
MATHEMATICS.
DIFFERENTIAL EQUATIONS, PARTIAL.
DISTRIBUTION (PROBABILITY THEORY).
MATHEMATICAL STATISTICS.
MATHEMATICS.
PROBABILITY THEORY AND STOCHASTIC PROCESSES.
PARTIAL DIFFERENTIAL EQUATIONS.
CONTROL, ROBOTICS, MECHATRONICS.
STATISTICAL THEORY AND METHODS.
519.2