Estimation and Control of Dynamical Systems

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Sprache: Englisch

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Beschreibung

This book provides a comprehensive presentation of classical and advanced topics in estimation and control of dynamical systems with an emphasis on stochastic control. Many aspects which are not easily found in a single text are provided, such as connections between control theory and mathematical finance, as well as differential games.

The book is self-contained and prioritizes concepts rather than full rigor, targeting scientists who want to use control theory in their research in applied mathematics, engineering, economics, and management science. Examples and exercises are included throughout, which will be useful for PhD courses and graduate courses in general.

Dr. Alain Bensoussan is Lars Magnus Ericsson Chair at UT Dallas and Director of the International Center for Decision and Risk Analysis which develops risk management research as it pertains to large-investment industrial projects that involve new technologies, applications and markets. He is also Chair Professor at City University Hong Kong.

Zusammenfassung

Provides a self-contained presentation that facilitates learning

Contains a chapter devoted to mathematical finance

Covers classical topics and more advanced research topics

Inhaltsverzeichnis

Introduction.- State Representation of Linear Dynamical Systems.- Optimal Control of Linear Dynamical Systems.- Estimation Theory.- Further Techniques of Estimation.- Compliments on Probability Theory.- Filtering Theory in Continuous Time.- Stochastic Control of Linear Dynamic Systems with Full Information.- Stochastic Control of Linear Dynamical Systems with Partial Information.- Deterministic Optimal Control.- Stochastic Optimal Control.- Additional Results for BSDE.- Stochastic Control Problems in Finance.- Stochastic Control for Non-Markov Processes.- Principal Agent Control Problems.- Differential Games.- Stackelberg Differential Games.- Target Problems.

Details

Erscheinungsjahr:	2018
Fachbereich:	Analysis
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Inhalt:	xii 547 S.
ISBN-13:	9783319754550
ISBN-10:	3319754556
Sprache:	Englisch
Herstellernummer:	978-3-319-75455-0
Einband:	Gebunden
Autor:	Bensoussan, Alain
Auflage:	1st edition 2018
Hersteller:	Springer International Publishing Springer International Publishing AG
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	241 x 160 x 36 mm
Von/Mit:	Alain Bensoussan
Erscheinungsdatum:	06.06.2018
Gewicht:	0,998 kg