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



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Éditeur :

Springer


Collection :

SpringerBriefs in Mathematics

Paru le : 2020-06-29



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Description

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.
Pages
130 pages
Collection
SpringerBriefs in Mathematics
Parution
2020-06-29
Marque
Springer
EAN papier
9783030483050
EAN PDF
9783030483067
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
1966 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
68,56 €
EAN EPUB
9783030483067
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
13
Taille du fichier
12575 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
68,56 €

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