General Pontryagin Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions is popular PDF and ePub book, written by Qi Lü in 2014-06-02, it is a fantastic choice for those who relish reading online the Science genre. Let's immerse ourselves in this engaging Science book by exploring the summary and details provided below. Remember, General Pontryagin Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions can be Read Online from any device for your convenience.
General Pontryagin Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions Book PDF Summary
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.
Detail Book of General Pontryagin Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions PDF
- Author : Qi Lü
- Release : 02 June 2014
- Publisher : Springer
- ISBN : 9783319066325
- Genre : Science
- Total Page : 148 pages
- Language : English
- PDF File Size : 8,8 Mb
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