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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - Xu Zhang
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Xu Zhang:

General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - Taschenbuch

2014, ISBN: 3319066315

[EAN: 9783319066318], Neubuch, [PU: Springer International Publishing], BACKWARDSTOCHASTICSEVOLUTIONEQUATION; OPTIMALCONTROL; PONTRYAGIN-TYPEMAXIMUMPRINCIPLE; STOCHASTICEVOLUTIONEQUATIONS… Mehr…

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ISBN: 9783319066318

The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The correspondi… Mehr…

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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - Zhang, Xu; Lü, Qi
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Zhang, Xu; Lü, Qi:
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - neues Buch

2014

ISBN: 3319066315

2014 Kartoniert / Broschiert Wahrscheinlichkeitsrechnung und Statistik, Optimierung, Angewandte Mathematik, Stochastik, Backwardstochasticsevolutionequation; optimalcontrol; Pontryagin-… Mehr…

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Lu Qi Zhang Xu:
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - Taschenbuch

2014, ISBN: 3319066315

[EAN: 9783319066318], Neubuch, [PU: Springer], Print on Demand pp. 158 Illus. (Col.), Books

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Qi Lu Xu Zhang:
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions - Taschenbuch

2014, ISBN: 3319066315

[EAN: 9783319066318], Neubuch, [PU: Springer], pp. 158, Books

NEW BOOK. Versandkosten: EUR 8.41 Books Puddle, New York, NY, U.S.A. [70780988] [Rating: 4 (von 5)]

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Bibliographische Daten des bestpassenden Buches

Details zum Buch
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

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 Pontryagin type 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.

Detailangaben zum Buch - General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions


EAN (ISBN-13): 9783319066318
ISBN (ISBN-10): 3319066315
Taschenbuch
Erscheinungsjahr: 2014
Herausgeber: Springer

Buch in der Datenbank seit 2014-08-19T15:57:42+02:00 (Vienna)
Detailseite zuletzt geändert am 2023-09-11T06:19:19+02:00 (Vienna)
ISBN/EAN: 9783319066318

ISBN - alternative Schreibweisen:
3-319-06631-5, 978-3-319-06631-8
Alternative Schreibweisen und verwandte Suchbegriffe:
Autor des Buches: pontryagin
Titel des Buches: maxim, getting right with type, evolution four dimensions, evolution equation, principle, maximum, stochastic equations infinite dimensions


Daten vom Verlag:

Autor/in: Qi Lü; Xu Zhang
Titel: SpringerBriefs in Mathematics; General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
Verlag: Springer; Springer International Publishing
146 Seiten
Erscheinungsjahr: 2014-06-24
Cham; CH
Gedruckt / Hergestellt in Niederlande.
Sprache: Englisch
64,19 € (DE)
65,99 € (AT)
71,00 CHF (CH)
POD
IX, 146 p. 1 illus. in color.

BC; Hardcover, Softcover / Mathematik/Sonstiges; Kybernetik und Systemtheorie; Verstehen; Backward stochastics evolution equation; Optimal control; Pontryagin-type maximum principle; Stochastic evolution equations; Transportation solution; quantitative finance; Systems Theory, Control; Calculus of Variations and Optimization; Probability Theory; Mathematics in Business, Economics and Finance; Statistics; Optimierung; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; EA

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.
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

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