Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Jingrui SunJiongmin Yong
Broschiertes Buch

Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

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This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents results for two-player differential games and mean-field optimal control problems in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, the book identifies, for the first time, the interconnections between the existence of open-loop and closed-loop Nash equilibria, solvability of the optimality system, and solvability of the associated Riccati equ...