UID:
almahu_9948436030302882
Umfang:
XIV, 120 p. 3 illus., 1 illus. in color.
,
online resource.
Ausgabe:
1st ed. 2020.
ISBN:
9783030209223
Serie:
SpringerBriefs in Mathematics,
Inhalt:
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.
Anmerkung:
1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.
In:
Springer Nature eBook
Weitere Ausg.:
Printed edition: ISBN 9783030209216
Weitere Ausg.:
Printed edition: ISBN 9783030209230
Sprache:
Englisch
DOI:
10.1007/978-3-030-20922-3
URL:
https://doi.org/10.1007/978-3-030-20922-3
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