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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Af: Jingrui Sun, Jiongmin Yong Engelsk Paperback
SPAR
kr 134
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Af: Jingrui Sun, Jiongmin Yong Engelsk Paperback

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.

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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.

Produktdetaljer
Sprog: Engelsk
Sider: 130
ISBN-13: 9783030483050
Indbinding: Paperback
Udgave:
ISBN-10: 3030483053
Udg. Dato: 30 jun 2020
Længde: 0mm
Bredde: 235mm
Højde: 155mm
Oplagsdato: 30 jun 2020
Forfatter(e): Jingrui Sun, Jiongmin Yong
Forfatter(e) Jingrui Sun, Jiongmin Yong


Kategori Kybernetik og systemteori


Sprog Engelsk


Indbinding Paperback


Sider 130


Udgave


Længde 0mm


Bredde 235mm


Højde 155mm


Udg. Dato 30 jun 2020


Oplagsdato 30 jun 2020

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