| 书目名称 | Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems | | 编辑 | Jingrui Sun,Jiongmin Yong | | 视频video | http://file.papertrans.cn/878/877986/877986.mp4 | | 概述 | Provides a detailed overview of stochastic linear-quadratic control theory.Largely self-contained, allowing readers to pursue independent study.Includes several explicitly worked-out examples, helping | | 丛书名称 | SpringerBriefs in Mathematics | | 图书封面 |  | | 描述 | .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.. | | 出版日期 | Book 2020 | | 关键词 | Linear-quadratic optimal control; Two-person differential game; Nash equilibrium; Mean-field; Riccati eq | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-030-48306-7 | | isbn_softcover | 978-3-030-48305-0 | | isbn_ebook | 978-3-030-48306-7Series ISSN 2191-8198 Series E-ISSN 2191-8201 | | issn_series | 2191-8198 | | copyright | The Author(s), under exclusive license to Springer Nature Switzerland AG 2020 |
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