Stochastic control of hereditary systems and applications

Resource Information

The work Stochastic control of hereditary systems and applications represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.

Label

Stochastic control of hereditary systems and applications

Statement of responsibility

Mou-Hsiung Chang

Creator

• Chang, Mou-Hsiung

Subject

• Hamilton-Jacobi equations
• Stochastic control theory
• Stochastic control theory
• Stochastische Kontrolltheorie
• Zeitverzögertes System
• Hamilton-Jacobi equations

Language

eng

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."--BOOK JACKET

Member of

• Stochastic modelling and applied probability, 59

Cataloging source

YDXCP

Index

index present

LC call number

QA402.37

LC item number

.C43 2008

Literary form

non fiction

Nature of contents

bibliography