Description: Stochastic Linear-quadratic Optimal Control Theory : Differential Games and Mean-field Problems, Paperback by Sun, Jingrui; Yong, Jiongmin, ISBN 3030483053, ISBN-13 9783030483050, Brand New, Free shipping in the US
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, th 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. Th 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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Book Title: Stochastic Linear-quadratic Optimal Control Theory : Differential
Number of Pages: Xii, 130 Pages
Language: English
Publication Name: Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Publisher: Springer International Publishing A&G
Subject: Probability & Statistics / General, System Theory, Optimization
Publication Year: 2020
Item Weight: 16 Oz
Type: Textbook
Subject Area: Mathematics, Science
Item Length: 9.3 in
Author: Jiongmin Yong, Jingrui Sun
Item Width: 6.1 in
Series: Springerbriefs in Mathematics Ser.
Format: Trade Paperback
