Shestopalov Y An Introduction to Optimal Control 2023
General:
Name: Shestopalov Y An Introduction to Optimal Control 2023
Format: pdf
Size: 8.58 MB
Book:
Title: An Introduction to Optimal Control
Author: Shestopalov, Yury
Language: angielski
Year: 2018
Subjects: Science & Technology, Engineering, Mathematics, Engineering – General & Miscellaneous, Computer Mathematics, Mathematical Programming & Operations Research, Mathematical optimization
Publisher: Springer-Verlag New York, LLC
ISBN: 9783319790398
Total pages: 261
Description:
This book focuses on maximum principle and verification theorem for incomplete information forward-backward stochastic differential equations (FBSDEs) and their applications in linear-quadratic optimal controls and mathematical finance. Lots of interesting phenomena arising from the area of mathematical finance can be described by FBSDEs. Optimal control problems of FBSDEs are theoretically important and practically relevant. A standard assumption in the literature is that the stochastic noises in the model are completely observed. However, this is rarely the case in real world situations. The optimal control problems under complete information are studied extensively. Nevertheless, very little is known about these problems when the information is not complete. The aim of this book is to fill this gap.
This book is written in a style suitable for graduate students and researchers in mathematics and engineering with basic knowledge of stochastic process, optimal control and mathematical finance.
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