Estimation and Control of Dynamical Systems
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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.
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.
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.
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.
Provides a self-contained presentation that facilitates learning Contains a chapter devoted to mathematical finance Covers classical topics and more advanced research topics
Autor*in
Alain Bensoussan
Themen in »Estimation and Control of Dynamical Systems«
Linear Dynamical Systems Dynamic Programming Estimation Differential Games Stochastic Control Backward Stochastic Differential Equations Contract Theory Hamilton-Jacobi-Bellman Equations
Stimmen zu »Estimation and Control of Dynamical Systems«
“This book is a great resource for graduate students and those who want to learn and understand stochastic control theory. It is also a great read for experts who want to gain a broader overview of the subject and wish to see connections between different techniques. … this is an excellent book and a great complement to the current offering in stochastic control.” (Jan Palczewski, SIAM Review, Vol. 62 (1), 2020)
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