This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. The results are introduced in the context of finite and infinite horizon problems, and for two-player zero-sum and nonzero-sum differential games. A number of new and interesting issues are presented, and the interconnections between three well-known relevant issues - the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation - are precisely identified for the first time. Though the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis, and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics, who are interested in stochastic control theory. Researchers in some other related areas, such as engineering, management, finance/economics and the social sciences, will also find the book useful.

Book Information
ISBN 9783030209216
Author Jingrui Sun
Format Paperback
Page Count 126
Imprint Springer Nature Switzerland AG
Publisher Springer Nature Switzerland AG