Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

Author:   Jingrui Sun ,  Jiongmin Yong
Publisher:   Springer Nature Switzerland AG
Edition:   1st ed. 2020
ISBN:  

9783030483050


Pages:   130
Publication Date:   30 June 2020
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems


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Author:   Jingrui Sun ,  Jiongmin Yong
Publisher:   Springer Nature Switzerland AG
Imprint:   Springer Nature Switzerland AG
Edition:   1st ed. 2020
Weight:   0.454kg
ISBN:  

9783030483050


ISBN 10:   3030483053
Pages:   130
Publication Date:   30 June 2020
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1.- Some Elements of Linear-Quadratic Optimal Controls.- 2. Linear-Quadratic Two-Person Differential Games.- 3. Mean-Field Linear-Quadratic Optimal Controls. 

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Jingrui Sun received his PhD in Mathematics from the University of Science and Technology of China in 2015. From 2015 to 2017, he was a Postdoctoral Fellow at the Hong Kong Polytechnic University and then a Research Fellow at the National University of Singapore. From 2017 to 2018, he was a Visiting Assistant Professor at the University of Central Florida, USA. Since the spring of 2019, he has been an Assistant Professor at the Southern University of Science and Technology, China. Dr. Sun has broad interests in the area of control theory and its applications. Aside from his primary research on stochastic optimal control and differential games, he is exploring forward and backward stochastic differential equations, stochastic analysis, and mathematical finance.  Jiongmin Yong received his PhD from Purdue University in 1986 and is currently a Professor of Mathematics at the University of Central Florida, USA. His main research interests include stochastic control, stochastic differential equations, and optimal control of partial differential equations. Professor Yong has co-authored the following influential books: “Stochastic Control: Hamiltonian Systems and HJB Equations” (with X. Y. Zhou, Springer 1999), “Forward-Backward Stochastic Differential Equations and Their Applications” (with J. Ma, Springer 1999), and “Optimal Control Theory for Infinite-Dimensional Systems” (with X. Li, Birkhauser 1995). His current interests include time-inconsistent stochastic control problems.

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