Chang, Mou-Hsiung. <br/><br/>
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 .
<br/><br/>and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization. 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>9780387758169  99780387758169 
<br/><br/><label>Standard No.: </label>10.1007/978-0-387-75816-9  doi 
<br/><br/><label>Subjects--Topical Terms: </label><br/>MATHEMATICS.<br/>DIFFERENTIAL EQUATIONS, PARTIAL.<br/>DISTRIBUTION (PROBABILITY THEORY).<br/>MATHEMATICAL STATISTICS.<br/>MATHEMATICS.<br/>PROBABILITY THEORY AND STOCHASTIC PROCESSES.<br/>PARTIAL DIFFERENTIAL EQUATIONS.<br/>CONTROL, ROBOTICS, MECHATRONICS.<br/>STATISTICAL THEORY AND METHODS.
<br/><br/><label>Dewey Class. No.: </label>519.2