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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

The main development of stochastic control problems

English Abstract

In this thesis, we review the main advancements of stochastic control problems. It can be considered to be an exposition in these parts: backward stochastic differential equations (BSDEs), stochastic optimal control problems, dynamic programming and HJB equation, maximum principle, the relationship between the MP (maximum principle) and DP (dynamic programming), LQ (linear quadratic) optimal control problems. It covers the development history over these years.

Issue date

2017

Author

Hao, Xiao Qi

Faculty

Faculty of Science and Technology

Degree

M.Sc.

Subject

Stochastic control theory

Supervisor

Xiong, Jie

Files In This Item

Full-text (Intranet)

Location
1/F Zone C
Library URL
991005795359706306