General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

• Κύριοι συγγραφείς: Lü, Qi (Συγγραφέας), Zhang, Xu (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Σειρά: SpringerBriefs in Mathematics,
• Θέματα: Mathematics.; Economics, Mathematical.; System theory.; Calculus of variations.; Probabilities.; Statistics.; Systems Theory, Control.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Statistics, general.

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...