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    3. Stochastic Control of Hereditary Systems and Applications

    Stochastic Control of Hereditary Systems and Applications

    Posted By: DZ123
    Date: 13 Mar 2019 19:41:25
    Stochastic Control of Hereditary Systems and Applications

    Mou-Hsiung Chang, "Stochastic Control of Hereditary Systems and Applications"
    English | 2008 | ISBN: 0387758054 | PDF | pages: 422 | 2.7 mb

    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.
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