Stochastic Linear-Quadratic Optimal Control Theory : Open-loop and Closed-loo...

Stochastic Linear-Quadratic Optimal Control Theory : Open-loop and Closed-loop Solutions, Paperback by Sun, Jingrui; Yong, Jiongmin, ISBN 3030209210, ISBN-13 9783030209216, Brand New, Free shipping in the </p><p>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 the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, 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.&nbsp;Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations.&nbsp;Th is mainly intended for senior undergraduate and graduate students majoring&nbsp;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.</p><br>