Stochastic Optimal Control in Infinite Dimension : Dynamic Programming and HJB Equations. 1st ed. 2017
- 種類:
- 電子ブック
- 責任表示:
- by Giorgio Fabbri, Fausto Gozzi, Andrzej Święch
- 出版情報:
- Cham : Springer International Publishing : Imprint: Springer, 2017
- 著者名:
- シリーズ名:
- Probability Theory and Stochastic Modelling ; 82
- ISBN:
- 9783319530673 [3319530674]
- 注記:
- Preface -- 1.Preliminaries on stochastic calculus in infinite dimensions -- 2.Optimal control problems and examples -- 3.Viscosity solutions -- 4.Mild solutions in spaces of continuous functions -- 5.Mild solutions in L2 spaces -- 6.HJB Equations through Backward Stochastic Differential Equations (by M. Fuhrman and G. Tessitore) -- Appendix A, B, C, D, E -- Bibliography.
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite - 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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