This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. The results are introduced in the context of finite and infinite horizon problems, and for two-player zero-sum and nonzero-sum differential games. A number of new and interesting issues are presented, and 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 - are precisely identified for the first time. Though 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. Researchers in some other related areas, such as engineering, management, finance/economics and the social sciences, will also find the book useful.
Jingrui Sun received his PhD in Mathematics from the University of Science and Technology of China in 2015. From 2015 to 2017, he was a Postdoctoral Fellow at the Hong Kong Polytechnic University and then a Research Fellow at the National University of Singapore. From 2017 to 2018, he was a Visiting Assistant Professor at the University of Central Florida, USA. Since the spring of 2019, he has been an Assistant Professor at the Southern University of Science and Technology, China. Dr. Sun has broad interests in the area of control theory and its applications. Aside from his primary research on stochastic optimal control and differential games, he is exploring forward and backward stochastic differential equations, stochastic analysis, and mathematical finance.
Jiongmin Yong received his PhD from Purdue University in 1986 and is currently a Professor of Mathematics at the University of Central Florida, USA. His main research interests include stochastic control, stochastic differential equations, and optimal control of partial differential equations. Professor Yong has co-authored the following influential books: “Stochastic Control: Hamiltonian Systems and HJB Equations” (with X. Y. Zhou, Springer 1999), “Forward-Backward Stochastic Differential Equations and Their Applications” (with J. Ma, Springer 1999), and “Optimal Control Theory for Infinite-Dimensional Systems” (with X. Li, Birkhauser 1995). His current interests include time-inconsistent stochastic control problems.„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
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Taschenbuch. Zustand: NEW. This item is printed on demand - it takes 3-4 days longer - Neuware - 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 majoringin 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. 136 pp. Englisch. Bestandsnummer des Verkäufers 9783030209216
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Taschenbuch. Zustand: NEW. Druck auf Anfrage Neuware - Printed after ordering - 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 majoringin 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. Bestandsnummer des Verkäufers 9783030209216
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