Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
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 results for two-player differential games and mean-field optimal cont
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Jingrui Sun Jiongmin Yong
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
SpringerBriefs in Mathematics Series Editors Nicola Bellomo, Torino, Italy Michele Benzi, Pisa, Italy Palle Jorgensen, Iowa City, USA Tatsien Li, Shanghai, China Roderick Melnik, Waterloo, Canada Otmar Scherzer, Linz, Austria Benjamin Steinberg, New York City, USA Lothar Reichel, Kent, USA Yuri Tschinkel, New York City, USA George Yin, Detroit, USA Ping Zhang, Kalamazoo, USA
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Jingrui Sun Jiongmin Yong •
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
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Jingrui Sun Department of Mathematics Southern University of Science and Technology Shenzhen, Guangdong, China
Jiongmin Yong Department of Mathematics University of Central Florida Orlando, FL, USA
ISSN 2191-8198 ISSN 2191-8201 (electronic) SpringerBriefs in Mathematics ISBN 978-3-030-48305-0 ISBN 978-3-030-48306-7 (eBook) https://doi.org/10.1007/978-3-030-48306-7 © The Author(s), under exclusive license to Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material
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