TY  - GEN
AU  - Sun, Jingrui 
AU  - Yong, Jiongmin
TI  - Stochastic linear-quadratic optimal control theory: open-loop and closed-loop solutions
T2  - / edited by Nicola Bellomo ... [et al.]
SN  - 9783030209216
U1  - 516.642 
PY  - 2020///
CY  - Switzerland 
PB  - Springer
KW  - Mathematical optimization
KW  - Mathematics philosophy
KW  - Probabilities
KW  - System theory
N2  - 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. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring 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
ER  -