Stochastic control of hereditary systems and applications
著者
書誌事項
Stochastic control of hereditary systems and applications
（Stochastic modelling and applied probability, 59）
Springer, c2008
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注記
Includes bibliographical references (p.[393]-400) and index
内容説明・目次
内容説明
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 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 reference for those who have special interest in optimal control theory and applications of stochastic hereditary systems.
目次
and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.
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