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Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions/ by Jingrui Sun, Jiongmin Yong.
作者:	Sun, Jingrui.
其他作者:	Yong, Jiongmin.
面頁冊數:	XIV, 120 p. 3 illus., 1 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Game Theory, Economics, Social and Behav. Sciences. -
電子資源:	https://doi.org/10.1007/978-3-030-20922-3
ISBN:	9783030209223

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
Sun, Jingrui.

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions[electronic resource] /by Jingrui Sun, Jiongmin Yong. - 1st ed. 2020. - XIV, 120 p. 3 illus., 1 illus. in color.online resource. - SpringerBriefs in Mathematics,2191-8198. - SpringerBriefs in Mathematics,.

1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.

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 the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. 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.

ISBN: 9783030209223

Standard No.: 10.1007/978-3-030-20922-3doiSubjects--Topical Terms:

669497
Game Theory, Economics, Social and Behav. Sciences.

LC Class. No.: QA315-316

Dewey Class. No.: 515.64

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
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