Stochastic Control of Hereditary Systems and Applications
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<P>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.</P>
- Autor: Mou-Hsiung Chang
- Seitenzahl: 406
- Format: PDF
- DRM: social-drm (ohne Kopierschutz)
- Erscheinungsdatum: 03.01.2008
- Herausgeber: SPRINGER