Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2020, 2020
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| Edition: | 1st ed. 2020 |
| Series: | SpringerBriefs in Mathematics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 1 introduction
- 2 Linear-Quadratic Optimal Controls in Finite Horizons
- 3 Linear-Quadratic Optimal Controls in Infinite Horizons
- 4 Linear Algebra and BSDEs