| Description |
1 online resource (ix, 146 pages) : color illustration |
| Series |
SpringerBriefs in Mathematics, 2191-8198 |
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BCAM SpringerBriefs |
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SpringerBriefs in mathematics, 2191-8198
|
|
BCAM SpringerBriefs.
|
| Contents |
Preface; Acknowledgments; Contents; 1 Introduction; 2 Preliminaries; 3 Well-Posedness of the Vector-Valued BSEEs; 4 Well-Posedness Result for the Operator-Valued BSEEs with Special Data; 5 Sequential Banach-Alaoglu-Type Theorems in the Operator Version; 6 Well-Posedness of the Operator-Valued BSEEs in the General Case; 7 Some Properties of the Relaxed Transposition Solutions to the Operator-Valued BSEEs; 8 Necessary Condition for Optimal Controls, the Case of Convex Control Domains; 9 Necessary Condition for Optimal Controls, the Case of Non-convex Control Domains; References |
| Summary |
The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in the deterministic infinite dimensional setting and for the stochastic differential equations. However, very little is known about the same problem but for controlled stochastic (infinite dimensional) evolution equations when the diffusion term contains the control variables and the control domains are allowed to be non-convex. Indeed, it is one of the longstanding unsolved problems in stochastic control theory to establish the Pontryagintype maximum principle for this kind of general control systems: this book aims to give a solution to this problem. This bookwill beuseful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations |
| Analysis |
calculus |
|
optimalisatie |
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optimization |
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wiskunde |
|
mathematics |
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statistiek |
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statistics |
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waarschijnlijkheidstheorie |
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probability theory |
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stochastische processen |
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stochastic processes |
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regeltheorie |
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control theory |
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optimalisatiemethoden |
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optimization methods |
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finance |
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Mathematics (General) |
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Wiskunde (algemeen) |
| Bibliography |
Includes bibliographical references |
| Notes |
English |
|
Online resource; title from PDF title page (SpringerLink, viewed June 13, 2014) |
| In |
Springer eBooks |
| Subject |
Stochastic differential equations.
|
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Pontrjagin duality.
|
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MATHEMATICS -- Applied.
|
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MATHEMATICS -- Probability & Statistics -- General.
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Pontrjagin duality
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Stochastic differential equations
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| Form |
Electronic book
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| Author |
Zhang, Xu, author
|
| ISBN |
9783319066325 |
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3319066323 |
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3319066315 |
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9783319066318 |
|
