Stochastic Optimal Control in Infinite Dimension

Stochastic Optimal Control in Infinite Dimension

Dynamic Programming and HJB Equations

Swiech, Andrzej; Tessitore, Gianmario; Gozzi, Fausto; Fuhrman, Marco; Fabbri, Giorgio

Springer International Publishing AG

09/2018

916

Mole

Inglês

9783319850535

15 a 20 dias

1893

Descrição não disponível.
Preface.- 1.Preliminaries on stochastic calculus in infinite dimensions.- 2.Optimal control problems and examples.- 3.Viscosity solutions.- 4.Mild solutions in spaces of continuous functions.- 5.Mild solutions in L2 spaces.- 6.HJB Equations through Backward Stochastic Differential Equations (by M. Fuhrman and G. Tessitore).- Appendix A, B, C, D, E.- Bibliography.
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49Lxx, 93E20, 49L20, 35R15, 35Q93, 49L25, 65H15, 37L55;stochastic optimal control;infinite dimensional systems;Hamilton-Jacobi-Bellman (HJB) equations;viscosity solutions;mild solutions of HJB equations;BSDEs approach to HJB equations;partial differential equations