Stochastic Controls: Hamiltonian Systems and Hjb Equations
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Book Overview
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol- lowing: (Q) What...
Format:Hardcover
Language:English
ISBN:0387987231
ISBN13:9780387987231
Release Date:June 1999
Publisher:Springer
Length:439 Pages
Weight:1.70 lbs.
Dimensions:1.0" x 6.3" x 9.6"
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