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Series : Stochastic Modelling and Applied Probability

Stochastic Control of Hereditary Systems and Applications, 1st Edition

Stochastic Control of Hereditary Systems and Applications, 1st Edition
Author
Chang, Mou-Hsiung 
Publisher
Springer-Verlag 
Publication Date
Jan, 2008 
ISBN
0387758054 or 9780387758053
HARDCOVER 
4,041 Pages
出版済 弊社に在庫ございます。
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¥ 20,620 (tax included)

Description

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.

Contents

Introduction and Summary
A. Basic Notation
B. Stochastic Control Problems and Summary
B1. Optimal Classical Control Problem
B2. Optimal Stopping Problem
B3. Discrete Approximations
B4. Option Pricing
B5. Hereditary Portfolio Optimization
C. Organization of Monograph

1 Stochastic Hereditary Differential Equations

2 Stochastic Calculus

3 Optimal Classical Control

4 Optimal Stopping

5 Discrete Approximations

6 Option Pricing

7 Hereditary Portfolio Optimization

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