Items related to Stochastic Controls: Hamiltonian Systems and HJB Equations...
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability) - Softcover
Synopsis
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 is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.
"synopsis" may belong to another edition of this title.
Review
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
"About this title" may belong to another edition of this title.
- PublisherSpringer
- Publication date2012
- ISBN 10 1461271541
- ISBN 13 9781461271543
- BindingPaperback
- LanguageEnglish
- Number of pages461
Other Popular Editions of the Same Title
Search results for Stochastic Controls: Hamiltonian Systems and HJB Equations...
International Edition
Stochastic Controls: Hamiltonian Systems and HJB Equations
International EditionSeller: Sizzler Texts, SAN GABRIEL, CA, U.S.A.
Seller rating 5 out of 5 stars
Soft cover. Condition: New. Dust Jacket Condition: New. 1st Edition. **INTERNATIONAL EDITION** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments go through via USPS/UPS/DHL with tracking numbers. Great professional textbook selling experience and expedite shipping service. Seller Inventory # ABE-16772626366
Quantity: Over 20 available
Seller Image
Stochastic Controls
Published by
Springer New York Sep 2012, 2012
ISBN 10: 1461271541
ISBN 13: 9781461271543
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation. 464 pp. Englisch. Seller Inventory # 9781461271543
Quantity: 2 available
Stock Image
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
Seller: Book Deals, Tucson, AZ, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. New! This book is in the same immaculate condition as when it was published 0.79. Seller Inventory # 353-1461271541-new
Quantity: 1 available
Stock Image
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # ABLIING23Mar2716030028588
Quantity: Over 20 available
Stock Image
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In English. Seller Inventory # ria9781461271543_new
Quantity: Over 20 available
Seller Image
Stochastic Controls
Print on DemandSeller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 tha. Seller Inventory # 4189784
Quantity: Over 20 available
Seller Image
Stochastic Controls : Hamiltonian Systems and HJB Equations
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation. Seller Inventory # 9781461271543
Quantity: 1 available
Stock Image
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability (43))
Seller: Mispah books, Redhill, SURRE, United Kingdom
Seller rating 4 out of 5 stars
Paperback. Condition: Like New. Like New. book. Seller Inventory # ERICA77314612715416
Quantity: 1 available