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Stochastic Control of Hereditary Systems and Applications - Mou-Hsiung Chang
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Mou-Hsiung Chang:
Stochastic Control of Hereditary Systems and Applications - nouveau livre

ISBN: 9781441926050

ID: 978144192605

ThisresearchmonographdevelopstheHamilton-Jacobi-Bellman(HJB)theory viathedynamicprogrammingprincipleforaclassofoptimalcontrolproblems for stochastic hereditary di?erential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an unbounded but fading m- ory. These equations represent a class of in?nite-dimensional stochastic s- tems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering, and economics/?nance. The wide applicability of these systems is due to the fact that the reaction of re- world systems to exogenous e?ects/signals is never instantaneous and it needs some time, time that can be translated into a mathematical language by some delay terms. Therefore, to describe these delayed e?ects, the drift and di?usion coe?cients of these stochastic equations depend not only on the current state but also explicitly on the past history of the state variable. The theory developed herein extends the ?nite-dimensional HJB theory of controlled di?usion processes to its in?nite-dimensional counterpart for c- trolledSHDEsinwhichacertainin?nite-dimensionalBanachspaceorHilbert space is critically involved in order to account for the bounded or unbounded memory. Another type of in?nite-dimensional HJB theory that is not treated in this monograph but arises from real-world application problems can often be modeled by controlled stochastic partial di?erential equations. Although they are both in?nite dimensional in nature and are both in the infancy of their developments, the SHDE exhibits many characteristics that are not in common with stochastic partial di?erential equations. Consequently, the HJB theory for controlled SHDEs is parallel to and cannot be treated as a subset of the theory developed for controlled stochastic partial di?erential equations. Mou-Hsiung Chang, Books, Science and Nature, Stochastic Control of Hereditary Systems and Applications Books>Science and Nature, Springer-Verlag/Sci-Tech/Trade

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Stochastic Control of Hereditary Systems and Applications - Mou-Hsiung Chang
Livre non disponible
(*)
Mou-Hsiung Chang:
Stochastic Control of Hereditary Systems and Applications - nouveau livre

ISBN: 9781441926050

ID: 978144192605

ThisresearchmonographdevelopstheHamilton-Jacobi-Bellman(HJB)theory viathedynamicprogrammingprincipleforaclassofoptimalcontrolproblems for stochastic hereditary di?erential equations (SHDEs) driven by a standard Brownian motion and with a bounded or an unbounded but fading m- ory. These equations represent a class of in?nite-dimensional stochastic s- tems that become increasingly important and have wide range of applications in physics, chemistry, biology, engineering, and economics/?nance. The wide applicability of these systems is due to the fact that the reaction of re- world systems to exogenous e?ects/signals is never instantaneous and it needs some time, time that can be translated into a mathematical language by some delay terms. Therefore, to describe these delayed e?ects, the drift and di?usion coe?cients of these stochastic equations depend not only on the current state but also explicitly on the past history of the state variable. The theory developed herein extends the ?nite-dimensional HJB theory of controlled di?usion processes to its in?nite-dimensional counterpart for c- trolledSHDEsinwhichacertainin?nite-dimensionalBanachspaceorHilbert space is critically involved in order to account for the bounded or unbounded memory. Another type of in?nite-dimensional HJB theory that is not treated in this monograph but arises from real-world application problems can often be modeled by controlled stochastic partial di?erential equations. Although they are both in?nite dimensional in nature and are both in the infancy of their developments, the SHDE exhibits many characteristics that are not in common with stochastic partial di?erential equations. Consequently, the HJB theory for controlled SHDEs is parallel to and cannot be treated as a subset of the theory developed for controlled stochastic partial di?erential equations. Mou-Hsiung Chang, Books, Science and Nature, Stochastic Control of Hereditary Systems and Applications Books>Science and Nature, Springer New York

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Stochastic Control of Hereditary Systems and Applications - Chang, Mou-Hsiung
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Chang, Mou-Hsiung:
Stochastic Control of Hereditary Systems and Applications - Livres de poche

2010, ISBN: 9781441926050

Edition reliée

[ED: Softcover], [PU: Springer, Berlin], This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class of optimal control problems for stochastic hereditary differential systems. It is driven by a standard Brownian motion and with a bounded memory or an infinite but fading memory. The optimal control problems treated in this book include optimal classical control and optimal stopping with a bounded memory and over finite time horizon. This book can be used as an introduction for researchers and graduate students who have a special interest in learning and entering the research areas in stochastic control theory with memories. Each chapter contains a summary. Mou-Hsiung Chang is a program manager at the Division of Mathematical Sciences for the U.S. Army Research Office. 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. Softcover reprint of hardcover 1st ed. 2008. 2010. xviii, 406 S. 235 mm Versandfertig in 3-5 Tagen, DE, [SC: 0.00], Neuware, gewerbliches Angebot, offene Rechnung (Vorkasse vorbehalten)

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Stochastic Control of Hereditary Systems and Applications - Mou-Hsiung Chang
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Mou-Hsiung Chang:
Stochastic Control of Hereditary Systems and Applications - Livres de poche

2010, ISBN: 9781441926050

Edition reliée, ID: 16198339

Softcover reprint of hardcover 1st ed. 2008, Softcover, Buch, [PU: Springer-Verlag New York Inc.]

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Stochastic Control of Hereditary Systems and Applications - Mou-Hsiung Chang
Livre non disponible
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Mou-Hsiung Chang:
Stochastic Control of Hereditary Systems and Applications - Livres de poche

2010, ISBN: 9781441926050

ID: 16198339

1st ed. Softcover of orig. ed. 2008, Softcover, Buch, [PU: Springer-Verlag New York Inc.]

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Détails sur le livre
Stochastic Control of Hereditary Systems and Applications

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.

Informations détaillées sur le livre - Stochastic Control of Hereditary Systems and Applications


EAN (ISBN-13): 9781441926050
ISBN (ISBN-10): 1441926054
Version reliée
Livre de poche
Date de parution: 2010
Editeur: Springer-Verlag GmbH
424 Pages
Poids: 0,637 kg
Langue: eng/Englisch

Livre dans la base de données depuis 03.09.2010 11:55:45
Livre trouvé récemment le 12.07.2018 10:07:53
ISBN/EAN: 9781441926050

ISBN - Autres types d'écriture:
1-4419-2605-4, 978-1-4419-2605-0


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