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Stochastic Control of Hereditary Systems and Applications (Repost)

Posted By: AvaxGenius
Stochastic Control of Hereditary Systems and Applications (Repost)

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.