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SpringerBriefs in Mathematics
cover

Stochastic Linear-Quadratic Optimal Control Theory

Volume 1

Authors: Sun, Jingrui, Yong, Jiongmin

  • Provides a detailed overview of stochastic control theory
  • Largely self-contained, allowing readers to pursue independent study
  • Includes several explicitly worked-out examples, helping readers to easily understand the theory discussed
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書籍の購入

イーブック ¥5,615
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • イーブック版は、まもなく発売予定です。
  • 予定日: November 4, 2019
  • ISBN 978-3-030-20922-3
  • ウォーターマーク付、 DRMフリー
  • ファイル形式:
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
ソフトカバー ¥7,019
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • 予定日: November 4, 2019
  • ISBN 978-3-030-20921-6
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
この書籍について

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.


著者について

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.

書籍の購入

イーブック ¥5,615
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • イーブック版は、まもなく発売予定です。
  • 予定日: November 4, 2019
  • ISBN 978-3-030-20922-3
  • ウォーターマーク付、 DRMフリー
  • ファイル形式:
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
ソフトカバー ¥7,019
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • 予定日: November 4, 2019
  • ISBN 978-3-030-20921-6
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
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書誌情報

Bibliographic Information
Book Title
Stochastic Linear-Quadratic Optimal Control Theory
Book Subtitle
Volume 1
Authors
Series Title
SpringerBriefs in Mathematics
Copyright
2019
Publisher
Springer International Publishing
Copyright Holder
The Author(s), under exclusive license to Springer Nature Switzerland AG
イーブック ISBN
978-3-030-20922-3
DOI
10.1007/978-3-030-20922-3
ソフトカバー ISBN
978-3-030-20921-6
Series ISSN
2191-8198
Edition Number
1
Number of Pages
XII, 126
Topics