Stochastic Control of Hereditary Systems and Applications

By Mou-Hsiung Chang

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.

• Format: Paperback
• Language: English
• ISBN: 1441926054
• ISBN13: 9781441926050
• Release Date: November 2010
• Publisher: Springer
• Length: 406 Pages
• Weight: 1.31 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"