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Stochastic Control of Hereditary Systems and Applications

Stochastic Control of Hereditary Systems and Applications

Mou-Hsiung Chang

207,05 €
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Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Probabilidad y estadística
ISBN:
9781441926050
207,05 €
IVA incluido
Disponible

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Sobre IBD

and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.

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Otros libros del autor

  • Quantum Stochastics
    Mou-Hsiung Chang
    ...
  • Stochastic Control of Hereditary Systems and Applications
    Mou-Hsiung Chang
    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 syst...