Stochastic Controls Hamiltonian Systems and HJB Equations |
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| Author:
| Yong, Jiongmin
Zhou, Xun Yu |
| Series title: | Stochastic Modelling and Applied Probability Ser. |
| ISBN: | 978-1-4612-7154-3 |
| Publication Date: | Sep 2012 |
| Publisher: | Springer New York
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $199.99 |
Book Description:
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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 viscosity solution theory provides the unifying framework.
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 viscosity solution theory provides the unifying framework.