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

stochastic controls : hamiltonian systems and hjb equations (stochastic modelling and applied probability)

more information about Stochastic Controls : Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)

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

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Book 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.

Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability),Jiongmin Yong,Xun Yu Zhou,Springer,0387987231,Advanced,Applied,Chaotic Behavior in Systems,Control Theory,General,Hamilton-Jacobi equations,Hamiltonian systems,Mathematical optimization,Mathematics,Probability & Statistics - General,Science/Mathematics,Stochastic Processes,Stochastic control theory,Econometrics,Mathematics / Statistics,Probability & statistics,Stochastics

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