Stochastic linear-quadratic optimal control theory: differential games and mean-field problems

著者

    • Sun, Jingrui
    • Yong, Jiongmin

書誌事項

Stochastic linear-quadratic optimal control theory: differential games and mean-field problems

Jingrui Sun, Jiongmin Yong

(SpringerBriefs in mathematics)

Springer, c2020

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注記

Includes bibliographical references and indexs

内容説明・目次

内容説明

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.

目次

1.- Some Elements of Linear-Quadratic Optimal Controls.- 2. Linear-Quadratic Two-Person Differential Games.- 3. Mean-Field Linear-Quadratic Optimal Controls.

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詳細情報

  • NII書誌ID(NCID)
    BC01788663
  • ISBN
    • 9783030483050
  • 出版国コード
    sz
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Cham
  • ページ数/冊数
    xii, 130 p
  • 親書誌ID
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