Stochastic optimal control in infinite dimension dynamic programming and HJB equations /

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general i...

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Bibliographic Details
Main Authors: Fabbri, Giorgio (Author), Gozzi, Fausto (Author), Święch, Andrezej (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham, Switzerland : Springer, 2017.
Series:Probability theory and stochastic modelling ; v. 82.
Physical Description:
1 online resource.
Subjects:
Stochastic processes -- Mathematical models.
Stochastic models.
Hamiltonian systems.
Hamilton-Jacobi equations.
Hilbert space.
Probabilities.
Mathematical optimization.
Distribution (Probability theory)
Differential equations, Partial.
Functional analysis.
Mathematics.
Stochastic processes.
Differential equations, Partial.
Functional analysis.
Online Access:SpringerLink - Click here for access
Holdings details from CMU Electronic Access C502
Copy 1 CMU Electronic Access Available

Internet

SpringerLink - Click here for access

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