Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability) Book + PRICE WATCH * Amazon pricing is not included in price watch

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

This book gives a self-contained and systematic exposition of the major optimal control theory for continuous-time stochastic diffusion processes, including the Pontryagin type maximum principle (MP) featuring second-order adjoint equations...Read More

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  • Foyles

    This book unifies the maximum principle and dynamic programming, the two most commonly used approaches in solving optimal control problems. The author shows that the...

  • 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.

  • 0387987231
  • 9780387987231
  • Jiongmin Yong, Xun Yu Zhou
  • 1 July 1999
  • Springer
  • Hardcover (Book)
  • 438
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