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

Xu Zhang

ISBN 10: 3319066315 / ISBN 13: 9783319066318

Edité par Springer International Publishing, Springer International Publishing Jun 2014, 2014

A propos de cet article

This item is printed on demand - Print on Demand Titel. Neuware -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 bookwill beuseful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 156 pp. Englisch.

N° de réf. du vendeur 9783319066318

Détails bibliographiques

• Titre: General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
• Éditeur: Springer International Publishing, Springer International Publishing Jun 2014
• Date de parution: 2014
• Langue: anglais
• ISBN à 10 chiffres: 3319066315
• ISBN à 13 chiffres: 9783319066318
• Reliure: Taschenbuch
• État de l'article: Neu
• Dimensions: 235 L x 155 H x 9 P (en millimètres) 235 millimètres de largeur par 155 millimètres de hauteur par 9 millimètres de profondeur
• Poids: 248 grammes

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.