About this book
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.
The optimal control problems treated in this book include optimal classical control and optimal stopping with a bounded memory and over finite time horizon.
This book can be used as an introduction for researchers and graduate students who have a special interest in learning and entering the research areas in stochastic control theory with memories. Each chapter contains a summary.
Mou-Hsiung Chang is a program manager at the Division of Mathematical Sciences for the U.S. Army Research Office.
Editors and affiliations
- DOI https://doi.org/10.1007/978-0-387-75816-9
- Copyright Information Springer New York 2008
- Publisher Name Springer, New York, NY
- eBook Packages Mathematics and Statistics
- Print ISBN 978-0-387-75805-3
- Online ISBN 978-0-387-75816-9
- Series Print ISSN 0172-4568
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