Research Catalog
Stochastic control of hereditary systems and applications / Mou-Hsiung Chang.
- Title
- Stochastic control of hereditary systems and applications / Mou-Hsiung Chang.
- Author
- Chang, Mou-Hsiung.
- Publication
- New York : Springer, c2008
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| Status | Vol/Date | Format | Access | Call Number | Item Location |
|---|---|---|---|---|---|
| vol.59 | Text | Request in advance | QA1 .A6 vol. 59 vol.59 | Off-site |
Holdings
Details
- Description
- xviii, 404 p.; 24 cm.
- Summary
- 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. This book can be used as an introduction for researchers and graduate students who have a special interest in learning and entering the research areas in stochastic control theory with memories. Each chapter contains a summary. Mou-Hsiung Chang is a program manager at the Division of Mathematical Sciences for the U.S. Army Research Office.
- Series Statement
- Stochastic modelling and applied probability ; 59
- Uniform Title
- Stochastic modelling and applied probability ; 59.
- Subject
- Bibliography (note)
- Includes bibliographical references (p. [393]-400) and index.
- Processing Action (note)
- committed to retain
- Contents
- and Summary -- Stochastic Hereditary Differential Equations -- Stochastic Calculus -- Optimal Classical Control -- Optimal Stopping -- Discrete Approximations -- Option Pricing -- Hereditary Portfolio Optimization.
- ISBN
- 0387758054
- 9780387758053
- LCCN
- ^^2007941276
- OCLC
- 181090533
- Owning Institutions
- Harvard Library