Book Details

978-0-387-75816-9

Stochastic Control of Hereditary Systems and Applications

Publication year: 2008

ISBN: 978-0-387-75816-9

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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