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

Language: English

Published by Springer, Palgrave Macmillan Jun 2020, 2020

3030483053 / 9783030483050

Series: Book 145 of 155 - SpringerBriefs in Mathematics

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This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 144 pp. Englisch.…

Seller Inventory # 9783030483050

Title
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Author
Jingrui Sun
Publisher
Springer, Palgrave Macmillan Jun 2020
Publication year
2020
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3030483053
ISBN 13
9783030483050
Item weight
230 grams
Dimensions
235x155x9 mm
Series
Book 145 of 155: SpringerBriefs in Mathematics

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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