Stochastic control of hereditary systems and applications.

DOI10.1007/978-0-387-75816-9MaRDI QIDQ2476298zbMATH OpenOpenAlexFDO

Authors Mou-Hsiung Chang

Publication date 19 March 2008

Published in Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-0-387-75816-9

zbMATH Keywords

Hamilton-Jacobi-Bellman equationhereditary stochastic differential equationsmathematical financeoptimal stochastic controlviscosity solutions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Review text

This book deals with optimal control of hereditary stochastic differential equations. These are stochastic differential equations whose coefficients depend on a bounded patch of the past trajectory (bounded memory), or an infinite past, but with appropriately decreasing dependence on distant past (infinite fading memory). The theory of such equations is developed starting from basics of stochastic calculus. A classical discounted cost control problem is analyzed in terms of its infinite dimensional Hamilton-Jacobi-Bellman equation, for which a viscosity solution and a verification theorem are established. For the bounded memory case, an optimal stopping problem is analyzed in terms of the associated infinite dimensional variational inequalities, for which a viscosity solution and a verification theorem are established. Various approximation schemes based on discretization and Markov chain approximations are presented. The results are applied to option pricing and portfolio optimization.

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• Mathematics of Kalman-Bucy filtering.
• Optimal control for a class of nonlinear stochastic hereditary systems
• Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle
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• Compensating operator and weak convergence of semi-Markov process to the diffusion process without balance condition
• An introduction to stochastic filtering theory.
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• Stochastic evolution systems. Linear theory and applications to non-linear filtering
• Optimal relaxed control of stochastic hereditary evolution equations with Lévy noise
• The stochastic filtering problem: a brief historical account
• Electromagnetics, control and robotics. A problems \& solutions approach
• Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
• Fundamentals of stochastic filtering

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