Buch, Englisch, 406 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 639 g
Buch, Englisch, 406 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 639 g
Reihe: Stochastic Modelling and Applied Probability
ISBN: 978-1-4419-2605-0
Verlag: Springer
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
- Technische Wissenschaften Technik Allgemein Mess- und Automatisierungstechnik
- Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
Weitere Infos & Material
and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.
