Нашли опечатку? Выделите ее мышкой и нажмите Ctrl+Enter
Название: Stochastic Control of Hereditary Systems and Applications
Автор: Chang M.H.
Аннотация:
This research 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.