<p>The quadratic cost optimal control problem for systems described by linear ordinary differential equations occupies a central role in the study of control systems. The first of two volumes on the subject deals with the theory of time evolution of controlled infinite-dimensional systems, and it inclu</p>

Representation and Control of Infinite-Dimensional Systems: Vol.I (Systems & Control: Foundations & Applications)

Science & Math

Michel C. Delfour

Giuseppe, Da Prato

Alain Bensoussan

Sanjoy K. Mitter

Mathematics

Birhauser

Representation and Control of Infinite Dimensional Systems: Vol 2 (Systems & Control: Foundations and Applications)

S.K. Mitter

M.C. Delfour

Birkhauser Verlag AG

This volume collects lecture notes from courses delivered in the past years at the Scuola Normale Superiore in Pisa, and also at the Trento and Funchal Universities. It presents an introductory course on differential stochastic equations and Malliavin calculus. The lectures are addressed to readers familiar with basic notions of measure theory and functional analysis. The first part is devoted to the Gaussian measure in a separable Hilbert space, the Malliavin derivative, the construction of the Brownian motion and Itô's formula. The second part deals with the differential stochastic equations and their connection with parabolic problems. Several applications are given, notably the Feynman-Kac, Girsanov and Clark-Ocone formulae, the Krylov-Bogoliubov and Von-Neumann theorems.

Introduction to Stochastic Analysis and Malliavin Calculus (Appunti)

Springer, Verlag

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