TY  - BOOK
AU  - Chang,Mou-Hsiung
ED  - SpringerLink (Online service)
TI  - Stochastic Control of Hereditary Systems and Applications
T2  - Stochastic Modelling and Applied Probability,
SN  - 9780387758169
U1  - 519.2 23
PY  - 2008///
CY  - New York, NY
PB  - Springer New York
KW  - MATHEMATICS
KW  - DIFFERENTIAL EQUATIONS, PARTIAL
KW  - DISTRIBUTION (PROBABILITY THEORY)
KW  - MATHEMATICAL STATISTICS
KW  - PROBABILITY THEORY AND STOCHASTIC PROCESSES
KW  - PARTIAL DIFFERENTIAL EQUATIONS
KW  - CONTROL, ROBOTICS, MECHATRONICS
KW  - STATISTICAL THEORY AND METHODS
N1  - and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization
N2  - 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
UR  - http://dx.doi.org/10.1007/978-0-387-75816-9
ER  -