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Lieferstatus:	i.d.R. innert 7-14 Tagen versandfertig
Veröffentlichung:	Juli 2017
Genre:	Schulbücher
	Analysis / B / Calculus of variations / Calculus of Variations and Optimal Control; Optimization / Calculus of Variations and Optimization / Cybernetics & systems theory / Differential calculus & equations / Functional Analysis / Functional analysis & transforms / Mathematics and Statistics / Optimization / Partial Differential Equations / Probabilities / Probability & statistics / Probability Theory / Probability Theory and Stochastic Processes / Stochastics / System Theory / Systems Theory, Control mehr...
ISBN:	9783319530666
EAN-Code:	9783319530666
Verlag:	Springer EN
Einband:	Gebunden
Sprache:	English
Serie:	#82 - Probability Theory and Stochastic Modelling
Dimensionen:	H 235 mm / B 155 mm / D
Gewicht:	15145 gr
Seiten:	916
Illustration:	XXIV, 916 p.
Zus. Info:	EUDR exemption - product or manufacturing materials placed on the market prior to 31.12.2025.
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

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. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.