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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Af: Jingrui Sun, Jiongmin Yong
Engelsk
Bogcover for Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems af Jingrui Sun, Jiongmin Yong, 9783030483050
Specifikationer
Sprog:
Engelsk
Sider:
130
ISBN-13:
9783030483050
Indbinding:
Paperback
ISBN-10:
3030483053
Kategori:
Udg. Dato:
30 jun 2020
Størrelse i cm:
23,3 x 15,5 x 1,2
Forlag:
Serie:
Oplagsdato:
30 jun 2020
Forfatter(e):
Genre:

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

Af: Jingrui Sun, Jiongmin Yong
Engelsk
Format:
Bog beskrivelse

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.

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Specifikationer
Sprog:
Engelsk
Sider:
130
ISBN-13:
9783030483050
Indbinding:
Paperback
ISBN-10:
3030483053
Kategori:
Udg. Dato:
30 jun 2020
Størrelse i cm:
23,3 x 15,5 x 1,2
Forlag:
Serie:
Oplagsdato:
30 jun 2020
Forfatter(e):
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