Stochastic control of hereditary systems and applications.

DOI10.1007/978-0-387-75816-9zbMath1138.93064OpenAlexW564397617MaRDI QIDQ2476298

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 equationviscosity solutionsmathematical financeoptimal stochastic controlhereditary stochastic differential equations

Mathematics Subject Classification ID

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

Related Items (4)

Optimal control for stochastic delay evolution equations ⋮ Compensating operator and weak convergence of semi-Markov process to the diffusion process without balance condition ⋮ Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle ⋮ Optimal relaxed control of stochastic hereditary evolution equations with Lévy noise

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