Stochastic control of hereditary systems and applications
Chang, Mou-Hsiung.
Stochastic control of hereditary systems and applications [electronic resource] / Mou-Hsiung Chang. - New York : Springer, c2008. - 1 online resource (xviii, 404 p.) - Stochastic modelling and applied probability ; 59. . - Stochastic modelling and applied probability ; 59. .
Includes bibliographical references (p. [393]-400) and index.
Online version restricted to NUS staff and students only through NUSNET.
"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."--Jacket.
Mode of access: World Wide Web.
System requirements: Internet connectivity; World Wide Web browser.
9780387758169 038775816X 0387758054 9780387758053 9786611180027 6611180028
978-0-387-75805-3 Springer
Stochastic control theory.
Hamilton-Jacobi equations.
Stochastic control of hereditary systems and applications [electronic resource] / Mou-Hsiung Chang. - New York : Springer, c2008. - 1 online resource (xviii, 404 p.) - Stochastic modelling and applied probability ; 59. . - Stochastic modelling and applied probability ; 59. .
Includes bibliographical references (p. [393]-400) and index.
Online version restricted to NUS staff and students only through NUSNET.
"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."--Jacket.
Mode of access: World Wide Web.
System requirements: Internet connectivity; World Wide Web browser.
9780387758169 038775816X 0387758054 9780387758053 9786611180027 6611180028
978-0-387-75805-3 Springer
Stochastic control theory.
Hamilton-Jacobi equations.