Stochastic Control of Hereditary Systems and Applications
Author:   Mou-Hsiung Chang
Publisher:   Springer-Verlag New York Inc.
Edition:   1st ed. Softcover of orig. ed. 2008
Volume:   59
ISBN:  

9781441926050


Pages:   406
Publication Date:   23 November 2010
Format:   Paperback
Availability:   Out of print, replaced by POD   Availability explained
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Stochastic Control of Hereditary Systems and Applications


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Author:   Mou-Hsiung Chang
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   1st ed. Softcover of orig. ed. 2008
Volume:   59
Dimensions:   Width: 15.50cm , Height: 2.20cm , Length: 23.50cm
Weight:   0.646kg
ISBN:  

9781441926050


ISBN 10:   1441926054
Pages:   406
Publication Date:   23 November 2010
Audience:   Professional and scholarly ,  Professional & Vocational ,  Postgraduate, Research & Scholarly
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD   Availability explained
We will order this item for you from a manufatured on demand supplier.

Table of Contents

and Summary.- Stochastic Hereditary Differential Equations.- Stochastic Calculus.- Optimal Classical Control.- Optimal Stopping.- Discrete Approximations.- Option Pricing.- Hereditary Portfolio Optimization.

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From the reviews: A large class of models from physics, chemistry ... etc., is described by stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion. ... The monograph is addressed to researchers and advanced graduate students with interest in the theory and applications of optimal control for SHDEs. ... The monograph provides a systematic and careful exposition of the fundamental results of the control problems for stochastic hereditary differential systems and represents an essential source of information for anyone who wants to work in the field. (Constantin Tudor, Mathematical Reviews, Issue 2009 e) The theme of this research monograph is a set of equations that represent a class of infinite-dimensional stochastic systems. ... This monograph can serve as an introduction and/or a research reference for researchers and advanced graduate students with a special interest in theory and applications of optimal control of SHDEs. The monograph is intended to be as self-contained as possible. ... Theory developed in this monograph can be extended with additional efforts to hereditary differential equations driven by semimartingales, such as Levy processes. (Adriana Hornikova, Technometrics, Vol. 52 (2), May, 2010)


From the reviews: A large class of models from physics, chemistry ! etc., is described by stochastic hereditary differential equations (SHDEs) driven by a standard Brownian motion. ! The monograph is addressed to researchers and advanced graduate students with interest in the theory and applications of optimal control for SHDEs. ! The monograph provides a systematic and careful exposition of the fundamental results of the control problems for stochastic hereditary differential systems and represents an essential source of information for anyone who wants to work in the field. (Constantin Tudor, Mathematical Reviews, Issue 2009 e)


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