Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)

Yong, Jiongmin; Zhou, Xun Yu

ISBN 10: 1461271541 / ISBN 13: 9781461271543

Published by Springer, 2012

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Bibliographic Details

• Title: Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
• Publisher: Springer
• Publication Date: 2012
• Language: English
• ISBN 10: 1461271541
• ISBN 13: 9781461271543
• Binding: Soft cover
• Condition: New

About this title

Synopsis

This monograph unifies the two key approaches in solving optimal control problems. The book will be of interest to researchers and graduate students in applied probability, control engineering, and econometrics.

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