+612 9045 4394
Stochastic Controls : Hamiltonian Systems and Hjb Equations :  Hamiltonian Systems and Hjb Equations - Jiongmin Yong

Stochastic Controls : Hamiltonian Systems and Hjb Equations

Hamiltonian Systems and Hjb Equations

Hardcover Published: June 1999
ISBN: 9780387987231
Number Of Pages: 439

Share This Book:


RRP $457.99
or 4 easy payments of $79.22 with Learn more
Ships in 7 to 10 business days

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.

Industry Reviews

From the reviews: SIAM REVIEW "The presentation of this book is systematic and self-contained!Summing up, this book is a very good addition to the control literature, with original features not found in other reference books. Certain parts could be used as basic material for a graduate (or postgraduate) course!This book is highly recommended to anyone who wishes to study the relationship between Pontryagin's maximum principle and Bellman's dynamic programming principle applied to diffusion processes." MATHEMATICS REVIEW This is an authoratative book which should be of interest to researchers in stochastic control, mathematical finance, probability theory, and applied mathematics. Material out of this book could also be used in graduate courses on stochastic control and dynamic optimization in mathematics, engineering, and finance curricula. Tamer Basar, Math. Review

Assumption Index
Problem Index
Basic Stochastic Calculusp. 1
Stochastic Optimal Control Problemsp. 51
Maximum Principle and Stochastic Hamiltonian Systemsp. 101
Dynamic Programming and HJB Equationsp. 157
The Relationship Between the Maximum Principle and Dynamic Programmingp. 217
Linear Quadratic Optimal Control Problemsp. 281
Backward Stochastic Differential Equationsp. 345
Referencesp. 401
Indexp. 433
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780387987231
ISBN-10: 0387987231
Series: Stochastic Modelling and Applied Probability
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 439
Published: June 1999
Publisher: Springer-Verlag New York Inc.
Country of Publication: US
Dimensions (cm): 23.5 x 15.5  x 2.54
Weight (kg): 0.74