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Stochastic linear-quadratic optimal control theorydifferential games and mean-field problems /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic linear-quadratic optimal control theoryby Jingrui Sun, Jiongmin Yong.
Reminder of title:	differential games and mean-field problems /
Author:	Sun, Jingrui.
other author:	Yong, Jiongmin.
Published:	Cham :Springer International Publishing :2020.
Description:	xii, 130 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	Mathematical optimization.
Online resource:	https://doi.org/10.1007/978-3-030-48306-7
ISBN:	9783030483067$q(electronic bk.)

Stochastic linear-quadratic optimal control theorydifferential games and mean-field problems /
Sun, Jingrui.

Stochastic linear-quadratic optimal control theorydifferential games and mean-field problems /[electronic resource] :by Jingrui Sun, Jiongmin Yong. - Cham :Springer International Publishing :2020. - xii, 130 p. :ill., digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - 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.

ISBN: 9783030483067$q(electronic bk.)

Standard No.: 10.1007/978-3-030-48306-7doiSubjects--Topical Terms:

183292
Mathematical optimization.

LC Class. No.: QA402.3 / .S86 2020

Dewey Class. No.: 519.6

Stochastic linear-quadratic optimal control theorydifferential games and mean-field problems /
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