More Books:

Stochastic Optimal Control in Infinite Dimension
Language: en
Pages: 916
Authors: Giorgio Fabbri, Fausto Gozzi, Andrzej Święch
Categories: Mathematics
Type: BOOK - Published: 2017-06-22 - Publisher: Springer

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g.
Stochastic Optimal Control in Infinite Dimension
Language: en
Pages:
Authors: Giorgio Fabbri, Fausto Gozzi, Andrezej Święch
Categories: Electronic book
Type: BOOK - Published: 2017 - Publisher:

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g.
Infinite Dimensional And Finite Dimensional Stochastic Equations And Applications In Physics
Language: en
Pages: 260
Authors: Grecksch Wilfried, Lisei Hannelore
Categories: Science
Type: BOOK - Published: 2020-04-22 - Publisher: World Scientific

Books about Infinite Dimensional And Finite Dimensional Stochastic Equations And Applications In Physics
General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
Language: en
Pages: 146
Authors: Qi Lü, Xu Zhang
Categories: Science
Type: BOOK - Published: 2014-06-02 - Publisher: Springer

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
Stochastic Partial Differential Equations and Applications - VII
Language: en
Pages: 347
Authors: Giuseppe Da Prato, Luciano Tubaro
Categories: Mathematics
Type: BOOK - Published: 2005-10-12 - Publisher: CRC Press

Stochastic Partial Differential Equations and Applications gives an overview of current state-of-the-art stochastic PDEs in several fields, such as filtering theory, stochastic quantization, quantum probability, and mathematical finance. Featuring contributions from leading expert participants at an international conference on the subject, this book presents valuable information for PhD students in