Mou-Hsiung Chang
Stochastic Control of Hereditary Systems and Applications
Gebonden Engels 2008 2008e druk 9780387758053Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9780387758053
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:406
Uitgever:Springer New York
Druk:2008
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Inhoudsopgave
and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.
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