Stochastic Controls : Hamiltonian Systems and HJB Equations /
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...
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| Format: | eBook |
| Language: | English |
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New York, NY :
Springer New York,
1999.
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| Series: | Applications of Mathematics, Stochastic Modelling and Applied Probability ;
43. |
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Preliminary
- Stochastic Control Problems
- Maximum Principle and Stochastic Hamiltonian Systems
- Dynamic Programming and HJB Equations
- Relationship between Maximum Principle and Dynamic Programming
- Partially Observed Processes
- Backward Stochastic Differential Equations
- References
- Index.