Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability 43) PDF
465 Pages·1999·5.452 MB·English
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Preview Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability 43)
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.
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