Stochastic Control of Hereditary Systems and Applications
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 memor...
Gardado en:
| Autor Principal: | |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
New York, NY :
Springer New York : Springer e-books
[20..].
Cham : Springer Nature |
| Series: | Stochastic Modelling and Applied Probability
59 |
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
L'impression du document génère 417 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic control of hereditary systems and applications, Mou-Hsiung Chang., New York, NY, Springer Science+Business Media, LLC, 2008, 1 vol. (XVIII-404 p.), Stochastic modelling and applied probability, 978-0-387-75805-3 |
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| 084 | |a 93E20. 2010 | ||
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| 100 | 1 | |a Chang, Mou-Hsiung. | |
| 245 | 1 | 0 | |a Stochastic Control of Hereditary Systems and Applications |c Mou-Hsiung Chang. |
| 260 | |a New York, NY : |b Springer New York : |b Springer e-books. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a Stochastic Modelling and Applied Probability |v 59 | |
| 500 | |a L'impression du document génère 417 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a and Summary Stochastic Hereditary Differential Equations Stochastic Calculus Optimal Classical Control Optimal Stopping Discrete Approximations Option Pricing Hereditary Portfolio Optimization | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. Mou-Hsiung Chang is a program manager at the Division of Mathematical Sciences for the U.S. Army Research Office | ||
| 650 | |a Équations aux dérivées partielles | ||
| 650 | |a Théorie de la commande | ||
| 650 | |a Statistique mathématique | ||
| 650 | |a Processus stochastiques | ||
| 650 | |a Programmation dynamique | ||
| 700 | 1 | |a Chang, Mou-Hsiung. |4 edt | |
| 776 | 0 | |0 152323457 |t Stochastic control of hereditary systems and applications |f Mou-Hsiung Chang. |c New York, NY |n Springer Science+Business Media, LLC |d 2008 |p 1 vol. (XVIII-404 p.) |s Stochastic modelling and applied probability |z 978-0-387-75805-3 | |
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