Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
Jiongmin Yong, Xun Yu Zhou
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.
Categories:
Year:
1999
Edition:
1
Publisher:
Springer
Language:
english
Pages:
231
ISBN 10:
0387987231
ISBN 13:
9780387987231
Series:
Stochastic Modelling and Applied Probability 43
File:
PDF, 38.90 MB
IPFS:
,
english, 1999