General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (Paperback)

Xu Zhang

ISBN 10: 3319066315 / ISBN 13: 9783319066318

Edité par Springer International Publishing AG, Cham, 2014

A propos de cet article

Paperback. 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. The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

N° de réf. du vendeur 9783319066318

Détails bibliographiques

• Titre: General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (Paperback)
• Éditeur: Springer International Publishing AG, Cham
• Date de parution: 2014
• Langue: anglais
• ISBN à 10 chiffres: 3319066315
• ISBN à 13 chiffres: 9783319066318
• Reliure: Paperback
• État de l'article: new

A propos de ce titre

Synopsis

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.