A mini-course on stochastic control

DOI10.1142/9789813276154_0004zbMATH Open1425.93303arXiv1612.02523OpenAlexW2567954582MaRDI QIDQ5237338FDOQ5237338

Authors: Qi Lü, Xu Zhang 

Publication date: 17 October 2019

Published in: Series in Contemporary Applied Mathematics (Search for Journal in Brave)

Abstract: This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties in the study of controllability and optimal control problems for these sort of equations. In particular, we will show by some examples that both the formulation of stochastic control problems and the tools to solve them may differ considerably from their deterministic counterpart.

Full work available at URL: https://arxiv.org/abs/1612.02523

Recommendations

• General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
• Stochastic optimal control -- a concise introduction
• Maximum principle for optimal control of infinite dimensional stochastic differential equations
• scientific article; zbMATH DE number 3999814
• Maximum principle for optimal control of stochastic partial differential equations

zbMATH Keywords

stochastic controlcontrollability of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cited In (5)

• A concise introduction to control theory for stochastic partial differential equations
• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
• General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
• Control theory forecasts of optimal training dosage to facilitate children's arithmetic learning in a digital educational application
• Barrier Lyapunov functions-based adaptive neural tracking control for non-strict feedback stochastic nonlinear systems with full-state constraints: a command filter approach

This page was built for publication: A mini-course on stochastic control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5237338)