Stochastic control of hereditary systems and applications [electronic resource] / Mou-Hsiung Chang.

By:

Chang, Mou-Hsiung

Material type: Text

TextSeries: Stochastic modelling and applied probability ; 59.Publication details: New York : Springer, c2008.Description: 1 online resource (xviii, 404 p.)ISBN:

9780387758169
038775816X
0387758054
9780387758053
9786611180027
6611180028

Subject(s):

Additional physical formats: Print version:: Stochastic control of hereditary systems and applications.Review: "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.

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Holdings
Item type	Current library	Call number	Copy number	Status	Date due	Barcode
General Books	CUTN Central Library Medicine, Technology & Management	629.831 (Browse shelf(Opens below))	1	Available		9043

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.

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