Stochastic Optimal Control in Infinite Dimension

515.64

Fabbri, Giorgio. Stochastic Optimal Control in Infinite Dimension Dynamic Programming and HJB Equations / by Giorgio Fabbri, Fausto Gozzi, Andrzej Święch. -
XXIII, 916 p. online resource. - (Probability Theory and Stochastic Modelling, 82) Content notes : Preface -- 1.Preliminaries on stochastic calculus in infinite dimensions -- 2.Optimal control problems and examples -- 3.Viscosity solutions -- 4.Mild solutions in spaces of continuous functions -- 5.Mild solutions in L2 spaces -- 6.HJB Equations through Backward Stochastic Differential Equations (by M. Fuhrman and G. Tessitore) -- Appendix A, B, C, D, E -- Bibliography. 9783319530673 * Mathematical optimization. Distribution (Probability theory. Differential equations, partial. Systems theory. Functional analysis. Calculus of Variations and Optimal Control; Optimization. Probability Theory and Stochastic Processes. Partial Differential Equations. Systems Theory, Control. Functional Analysis. * Gozzi, Fausto., aut, http://id.loc.gov/vocabulary/relators/autŚwięch, Andrzej., aut, http://id.loc.gov/vocabulary/relators/aut * Title * Series