Mou-Hsiung Chang

Stochastic Control of Hereditary Systems and Applications (eBook, PDF)

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer US
• Seitenzahl: 406
• Erscheinungstermin: 3. Januar 2008
• Englisch
• ISBN-13: 9780387758169
• Artikelnr.: 37288583

Inhaltsangabe

and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.

Rezensionen

From the reviews:

"A large class of models from physics, chemistry ... etc., is described by stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion. ... The monograph is addressed to researchers and advanced graduate students with interest in the theory and applications of optimal control for SHDEs. ... The monograph provides a systematic and careful exposition of the fundamental results of the control problems for stochastic hereditary differential systems and represents an essential source of information for anyone who wants to work in the field." (Constantin Tudor, Mathematical Reviews, Issue 2009 e)

"The theme of this research monograph is a set of equations that represent a class of infinite-dimensional stochastic systems. ... This monograph can serve as an introduction and/or a research reference for researchers and advanced graduate students with a special interest in theory and applications of optimal control of SHDEs. The monograph is intended to be as self-contained as possible. ... Theory developed in this monograph can be extended with additional efforts to hereditary differential equations driven by semimartingales, such as Lévy processes." (Adriana Horníková, Technometrics, Vol. 52 (2), May, 2010)