Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems. 1st ed. 2020
- 種類:
- 電子ブック
- 責任表示:
- by Jingrui Sun, Jiongmin Yong
- 出版情報:
- Cham : Springer International Publishing : Imprint: Springer, 2020
- 著者名:
- シリーズ名:
- SpringerBriefs in Mathematics ;
- ISBN:
- 9783030483067 [3030483061]
- 注記:
- 1 -- Some Elements of Linear-Quadratic Optimal Controls -- 2. Linear-Quadratic Two-Person Differential Games -- 3. Mean-Field Linear-Quadratic Optimal Controls. .
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 - ローカル注記:
- 岐阜大学構成員専用E-BOOKS (Gifu University members only)
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2
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Probabilistic Theory of Mean Field Games with Applications I : Mean Field FBSDEs, Control, and Games
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Springer Berlin Heidelberg : Imprint: Springer |