Stochastic Control of Hereditary Systems and Applications - 9780387758053
Un libro in lingua di Mou Chang Hsiung edito da Springer Verlag, 2008
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This monograph develops the Hamilton-Jacobi-Bellman theory via dynamic programming principle for a class of optimal control problems for stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an infinite but fading memory. These equations represent a class of stochastic infinite-dimensional systems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering and economics/finance. This monograph can be used as a reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.
Informazioni bibliografiche
- Titolo del Libro in lingua: Stochastic Control of Hereditary Systems and Applications
- Lingua: English
- Autori : Mou Chang Hsiung
- Editore: Springer Verlag
- Collana: Springer Verlag (Hardcover)
- Data di Pubblicazione: 11 Gennaio '08
- Genere: MATHEMATICS
- Argomenti : Stochastic control theory Hamilton-Jacobi equations
- Pagine: 4041
- Dimensioni mm: 234 x 158 x 19
- ISBN-10: 0387758054
- EAN-13: 9780387758053