Titlebook: Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions; Jingrui Sun,Jiongmin Yong Book 2020 The Author(s)

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Introduction,ic problems is briey reviewed and some classical results for deterministic linear-quadratic problems are collected. As an abstract framework for studying the linear-quadratic problem, the optimization problem for quadratic functionals in a Hilbert space is also discussed.

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Book 2020ded for senior undergraduate and graduate students majoring?in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences..

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Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

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Jingrui Sun,Jiongmin Yong is, as she says, impossible to prescribe patterns for reading: ‘The only advice, indeed, that one person can give another about reading is to take no advice, to follow your own instincts, to use your own reason, to come to your own conclusions.’. Independence, Woolf confidently asserts, is ‘the mos