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.

Hersteller:
Springer Verlag GmbH
juergen.hartmann@springer.com
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Inhaltsangabeand Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.

Leseprobe

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.