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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.
Produkteigenschaften
- Artikelnummer: 9781441926050
- Medium: Buch
- ISBN: 978-1-4419-2605-0
- Verlag: Springer
- Erscheinungstermin: 23.11.2010
- Sprache(n): Englisch
- Auflage: 1. Auflage. Softcover version of original hardcover Auflage 2008
- Serie: Stochastic Modelling and Applied Probability
- Produktform: Kartoniert, Previously published in hardcover
- Gewicht: 639 g
- Seiten: 406
- Format (B x H x T): 155 x 235 x 23 mm
- Ausgabetyp: Kein, Unbekannt