Stochastic Controls: Hamiltonian Systems and HJB Equations / Edition 1

Stochastic Controls: Hamiltonian Systems and HJB Equations / Edition 1

by Jiongmin Yong, Xun Yu Zhou
     
 

ISBN-10: 0387987231

ISBN-13: 9780387987231

Pub. Date: 07/01/1999

Publisher: Springer New York

The maximum principle and dynamic programming are the two most commonly used approaches in solving optimal control problems. These approaches have been developed independently. The theme of this book is to unify these two approaches, and to demonstrate that the viscosity solution theory provides the framework to unify them.

Overview

The maximum principle and dynamic programming are the two most commonly used approaches in solving optimal control problems. These approaches have been developed independently. The theme of this book is to unify these two approaches, and to demonstrate that the viscosity solution theory provides the framework to unify them.

Product Details

ISBN-13:
9780387987231
Publisher:
Springer New York
Publication date:
07/01/1999
Series:
Stochastic Modelling and Applied Probability Series, #43
Edition description:
1999
Pages:
439
Product dimensions:
6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

Preliminary.- Shastic Control Problems.- Maximum Principle and Shastic Hamiltonian Systems.- Dynamic Programming and HJB Equations.- Relationship between Maximum Principle and Dynamic Programming.- Partially Observed Processes.- Backward Shastic Differential Equations.- References.- Index.

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