Overview
This research 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 covers a very active research area. It can be used as a research reference for researchers and advanced graduate students who have special interest in optimal control theory and applications of stochastic hereditary systems.
- | Author: Mou-Hsiung Chang
- | Publisher: Springer
- | Publication Date: Nov 23, 2010
- | Number of Pages: 406 pages
- | Binding: Paperback or Softback
- | ISBN-10: 1441926054
- | ISBN-13: 9781441926050
