Stochastic Optimal Control in Infinite Dimension Dynamic Programming and HJB Equations
Language: English
Published by Springer, 2017
Series: Book 16 of 35 - Probability Theory and Stochastic Modelling
- Hardcover
- New
Condition: New
£ 264.61
Quantity: 2 available
Add to basketItem description from seller
Providing an introduction to stochastic optimal control in in?nite dimension, this book gives a complete account of the theory of second-order HJB equations in in?nite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in in?nite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs,and in PDEs in in?nite dimension. Readers from other ?elds who want to learn the basic theory will also ?nd it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in ?nite dimension, and the basics of stochastic analysis and stochastic equations in in?nite-dimensional spaces. Sprache: Englisch Gewicht in Gramm: 1504.…
Seller Inventory # IB-648519
- Title
- Stochastic Optimal Control in Infinite Dimension Dynamic Programming and HJB Equations
- Author
- Andrzej ?Wi?Ch, Fausto Gozzi, Giorgio Fabbri
- Publisher
- Springer
- Publication year
- 2017
- Condition
- Neu
- Binding
- Gebundene Ausgabe
- Language
- English
- ISBN 10
- 3319530666
- ISBN 13
- 9783319530666
- Item weight
- 1,504 grams
- Series
- Book 16 of 35: Probability Theory and Stochastic Modelling
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 introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs,and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
"Synopsis" may belong to another edition of this title.
About the Author
Giorgio Fabbri is a CNRS Researcher at the Aix-Marseille School of Economics, Marseille, France. He works on optimal control of deterministic and stochastic systems, notably in infinite dimensions, with applications to economics. He has also published various papers in several economic areas, in particular in growth theory and development economics.
Fausto Gozzi is a Full Professor of Mathematics for Economics and Finance at Luiss University, Roma, Italy. His main research field is the optimal control of finite and infinite-dimensional systems and its economic and financial applications. He is the author of many papers in various subjects areas, from Mathematics, to Economics and Finance.
Andrzej Swiech is a Full Professor at the School of Mathematics, Georgia Institute of Technology, Atlanta, USA. He received Ph.D. from UCSB in 1993. His main research interests are in nonlinear PDEs and integro-PDEs, PDEs in infinite dimensional spaces, viscosity solutions, stochastic and deterministic optimal control, stochastic PDEs, differential games, mean-field games, and the calculus of variations.*Marco Fuhrman* is a Full Professor of Probability and Mathematical Statistics at the University of Milano, Italy. His main research topics are stochastic differential equations in infinite dimensions and backward stochastic differential equations for optimal control of stochastic processes.
*Gianmario Tessitore* is a Full Professor of Probability and Mathematical Statistics at Milano-Bicocca University. He is the author of several scientific papers on control of stochastic differential equations in finite and infinite dimensions. He is, in particular, interested in the applications of backward stochastic differential equations in stochastic control.
"About the title" may belong to another edition of this title.
Shipping rates from Germany to U.S.A.
| Item | 10 to 12 business days | 8 to 10 business days |
|---|---|---|
| First item | £ 54.11 | £ 81.48 |
Payment methods
- Check
Specialty
BuchRight of withdrawal
If you are a consumer you can withdraw from the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
Information regarding the right of withdrawal
Statutory right to withdraw
You have the right to withdraw from this contract within 14 days without giving any reason.
The withdrawal period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the last good or the last lot or piece.
To exercise the right of withdrawal, electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". We will communicate to you an acknowledgement of receipt of such a withdrawal on a durable medium (e.g. by e-mail) without delay.
To meet the withdrawal deadline, it is sufficient for you to send your communication concerning your exercise of the right of withdrawal before the withdrawal period has expired.
Effects of withdrawal
If you withdraw from this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to withdraw from this contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back, or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to Home-set, Mannheim, Germany, without undue delay and in any event not later than 14 days from the day on which you communicate your withdrawal from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of withdrawal
The right of withdrawal does not apply to:
- The delivery of newspapers, journals or magazines with the exception of subscription contracts; and
- The supply of digital content which is not supplied on a tangible medium (e.g. on a CD or DVD) if you accepted when you placed your order that we could start to deliver it, and that you could not withdraw once delivery had started.