Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems (SpringerBriefs in Mathematics)
Language: English
Published by Springer, 2020
- Softcover
- New

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- Title
- Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems (SpringerBriefs in Mathematics)
- Author
- Sun, Jingrui; Yong, Jiongmin
- Publisher
- Springer
- Publication year
- 2020
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 3030483053
- ISBN 13
- 9783030483050
- Series
- Book 145 of 155: SpringerBriefs in Mathematics
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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Ria Christie Collections
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