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Stochastic linear-quadratic optimal control theoryopen-loop and closed-loop solutions /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic linear-quadratic optimal control theoryby Jingrui Sun, Jiongmin Yong.
Reminder of title:	open-loop and closed-loop solutions /
Author:	Sun, Jingrui.
other author:	Yong, Jiongmin.
Published:	Cham :Springer International Publishing :2020.
Description:	xiv, 120 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
Subject:	Mathematical optimization.
Online resource:	https://doi.org/10.1007/978-3-030-20922-3
ISBN:	9783030209223$q(electronic bk.)

Stochastic linear-quadratic optimal control theoryopen-loop and closed-loop solutions /
Sun, Jingrui.

Stochastic linear-quadratic optimal control theoryopen-loop and closed-loop solutions /[electronic resource] :by Jingrui Sun, Jiongmin Yong. - Cham :Springer International Publishing :2020. - xiv, 120 p. :ill., digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.

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.

ISBN: 9783030209223$q(electronic bk.)

Standard No.: 10.1007/978-3-030-20922-3doiSubjects--Topical Terms:

183292
Mathematical optimization.

LC Class. No.: QC20.7.M27 / S85 2020

Dewey Class. No.: 519.6

Stochastic linear-quadratic optimal control theoryopen-loop and closed-loop solutions /
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