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Stochastic Controls Hamiltonian Systems and Hjb Equations

by J. Yong

  • ISBN: 9780387987231
  • ISBN10: 0387987231

Stochastic Controls Hamiltonian Systems and Hjb Equations

by J. Yong

  • List Price: $199.99
  • Binding: Hardcover
  • Publisher: Springer Verlag
  • Publish date: 06/01/1999
  • ISBN: 9780387987231
  • ISBN10: 0387987231
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Description: The maximum principle & 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 & to demonstrate that the viscosity solution theory provides the framework to unify them.
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