Stochastic optimal control in infinite dimension : dynamic programming and HJB equations /: dynamic programming and HJB equations. (2017)

• Record Type: Book
• Further Information: Note: Giorgio Fabbri, Fausto Gozzi, Andrezej Święch ; with a contribution by Marco Fuhrman and Gianmario Tessitore.
• Authors: Fabbri, Giorgio; Gozzi, Fausto; Święch, Andrezej
• Contents: 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.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2017
• Extent: 1 online resource
• Subjects: 519.2; Mathematics; Stochastic processes -- Mathematical models; Stochastic models; Hamiltonian systems; Hamilton-Jacobi equations; Hilbert space; Probabilities; Mathematical optimization; MATHEMATICS / Probability & Statistics / Stochastic Processes; MATHEMATICS / Applied; MATHEMATICS / Probability & Statistics / General; Hamilton-Jacobi equations; Hamiltonian systems; Hilbert space; Mathematical optimization; Probabilities; Stochastic models; Stochastic processes -- Mathematical models; Mathematics; Calculus of Variations and Optimal Control; Optimization; Probability Theory and Stochastic Processes; Partial Differential Equations; Systems Theory, Control; Functional Analysis; Mathematics -- Probability & Statistics -- General; Mathematics -- Differential Equations; Science -- System Theory; Mathematics -- Functional Analysis; Probability & statistics; Differential calculus & equations; Cybernetics & systems theory; Functional analysis & transforms; Distribution (Probability theory); Differential equations, partial; Systems theory; Functional analysis; Mathematics -- Calculus; Calculus of variations; Electronic books
• Languages: English
• ISBNs: 9783319530673; 3319530674
• Related ISBNs: 9783319530666; 3319530666
• Notes: Note: Includes bibliographical references and index.; Note: Vendor-supplied metadata.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.