Stochastic Control of Hereditary Systems and Applications by Mou-Hsiung Chang
English | PDF | 2008 | 418 Pages | ISBN : 0387758054 | 3.1 MB
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.