General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions: SpringerBriefs in Mathematics
Autor Qi Lü, Xu Zhangen Limba Engleză Paperback – 24 iun 2014
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Specificații
ISBN-13: 9783319066318
ISBN-10: 3319066315
Pagini: 156
Ilustrații: IX, 146 p. 1 illus. in color.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.23 kg
Ediția:2014
Editura: Springer International Publishing
Colecția Springer
Seria SpringerBriefs in Mathematics
Locul publicării:Cham, Switzerland
ISBN-10: 3319066315
Pagini: 156
Ilustrații: IX, 146 p. 1 illus. in color.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.23 kg
Ediția:2014
Editura: Springer International Publishing
Colecția Springer
Seria SpringerBriefs in Mathematics
Locul publicării:Cham, Switzerland
Public țintă
ResearchCuprins
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.
Textul de pe ultima copertă
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 book will be useful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations.
Caracteristici
First monograph on Pontryagin-type maximum principle for stochastic evolution equations Provides useful approach to the topic, useful for both beginners and experts Provides detailed proof for most of results faced in the book Includes supplementary material: sn.pub/extras