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. This monograph can be used as a research reference for researchers and advanced graduate students who have special interest in optimal control theory and applications of stochastic hereditary systems. Very active research area Chang bridges area of stochastic control and stochastic delay equations INDICE: Preface.- Introduction and Summary.- Chapter 1. Stochastic Hereditary Differential Equations.- Chapter 2. Stochastic Calculus.- Chapter 3. Optimal Classical Control.- Chapter 4. Optimal Stopping.- Chapter 5. Discrete Approximations.- Chapter 6. Option Pricing.- Chapter 7. Hereditary Portfolio Optimization.- References.- List of Symbols.- Index.
- ISBN: 978-0-387-75805-3
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 415
- Fecha Publicación: 01/01/2008
- Nº Volúmenes: 1
- Idioma: Inglés