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200706 ||| eng |
020 |
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|a 9783030209223
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100 |
1 |
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|a Sun, Jingrui
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245 |
0 |
0 |
|a Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
|h Elektronische Ressource
|c by Jingrui Sun, Jiongmin Yong
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250 |
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|a 1st ed. 2020
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260 |
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|a Cham
|b Springer International Publishing
|c 2020, 2020
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300 |
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|a XIV, 120 p. 3 illus., 1 illus. in color
|b online resource
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505 |
0 |
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|a 1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs
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653 |
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|a Calculus of Variations and Optimization
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653 |
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|a Game Theory
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653 |
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|a Control theory
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653 |
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|a Systems Theory, Control
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653 |
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|a Probability Theory
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653 |
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|a Game theory
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653 |
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|a System theory
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653 |
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|a Mathematical optimization
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653 |
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|a Calculus of variations
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653 |
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|a Probabilities
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700 |
1 |
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|a Yong, Jiongmin
|e [author]
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041 |
0 |
7 |
|a eng
|2 ISO 639-2
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989 |
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|b Springer
|a Springer eBooks 2005-
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490 |
0 |
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|a SpringerBriefs in Mathematics
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028 |
5 |
0 |
|a 10.1007/978-3-030-20922-3
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856 |
4 |
0 |
|u https://doi.org/10.1007/978-3-030-20922-3?nosfx=y
|x Verlag
|3 Volltext
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082 |
0 |
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|a 515.64
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082 |
0 |
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|a 519.6
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520 |
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|a 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
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