Stochastic Controls: Hamiltonian Systems and HJB Equations

As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving shastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol­ lowing: (Q) What is the relationship betwccn the maximum princ...