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STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL THEORY IBD

JINGRUI SUN / JIONGMIN YONG
SPRINGER
06 / 2020
9783030209216
Inglés

Sinopsis

á 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.áAlthough the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations.áThe book is mainly intended for senior undergraduate and graduate students majoringáin 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.