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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Engelsk Paperback
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Engelsk Paperback

512 kr
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Om denne bog

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents results for two-player differential games and mean-field optimal control problems in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, the book identifies, for the first time, the interconnections between the existence of open-loop and closed-loop Nash equilibria, solvability of the optimality system, and solvability of the associated Riccati equation, and also explores the open-loop solvability of mean-filed linear-quadratic optimal control problems. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Product detaljer
Sprog:
Engelsk
Sider:
130
ISBN-13:
9783030483050
Indbinding:
Paperback
Udgave:
ISBN-10:
3030483053
Udg. Dato:
30 jun 2020
Længde:
0mm
Bredde:
155mm
Højde:
235mm
Forlag:
Springer Nature Switzerland AG
Oplagsdato:
30 jun 2020
Forfatter(e):
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