Stochastic Control of Hereditary Systems and Applications
Publication year: 2008
ISBN: 978-0-387-75816-9
Internet Resource: Please Login to download 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 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.
Subject: Mathematics and Statistics, Applications, Brownian motion, Chang, Control, Hereditary, Stochastic, Stochastic calculus, partial differential equations
