Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability (43))

Yong, Jiongmin, Zhou, Xun Yu

ISBN 10: 1461271541 / ISBN 13: 9781461271543

Published by Springer, 2012

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Seller Inventory # ERICA77314612715416

Bibliographic Details

• Title: Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability (43))
• Publisher: Springer
• Publication Date: 2012
• Language: English
• ISBN 10: 1461271541
• ISBN 13: 9781461271543
• Binding: Paperback
• Condition: Like New
• Book Type: book

About this title

Synopsis

This monograph unifies the two key approaches in solving optimal control problems. The book will be of interest to researchers and graduate students in applied probability, control engineering, and econometrics.

Product Description

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.