Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability) Book + PRICE WATCH * Amazon pricing is not included in price watch

Stochastic Control of Hereditary Systems and Applications (Stochastic Modelling and Applied Probability) Book

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...Read More

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  • Product Description

    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.

  • 0387758054
  • 9780387758053
  • Mou-Hsiung Chang
  • 15 February 2008
  • Springer
  • Hardcover (Book)
  • 406
  • 1
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