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Stochastic Optimal Control in Infinite Dimension: Dynamic Programming and HJB Equations

By Giorgio Fabbri, Fausto Gozzi, Andrzej Swiech, Marco Fuhrman (Contribution by), Gianmario Tessitore (Contribution by)
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$209.00
By Giorgio Fabbri, Fausto Gozzi, Andrzej Swiech, Marco Fuhrman (Contribution by), Gianmario Tessitore (Contribution by)
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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 expositio...

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Science & TechnologyMathematicsCalculus