Stochastic Linear-Quadratic Optimal Control Theory

Open-Loop and Closed-Loop Solutions

By: Jingrui Sun, Jiongmin Yong

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Paperback | 30 June 2020

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Paperback
136 Pages

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23.39 x 15.6 x 0.74

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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 the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, 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. Although 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. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Industry Reviews

"This book offers results on the optimal control of a solution to the linear stochastic differential equation with a quadratic cost functional. ... This book is characterized by clear statements of problems, definitions, propositions, and theorems. It contains examples and counterexamples that support the theoretical results." (Konstantin Rybakov, Mathematical Reviews, May, 2024)

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