Stochastic Controls | Hamiltonian Systems and HJB Equations

Jiongmin Yong (u. a.)

ISBN 10: 1461271541 ISBN 13: 9781461271543

Published by Springer, 2012

Language: English

Condition: New Soft cover

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Bibliographic Details

Title

Stochastic Controls | Hamiltonian Systems and HJB Equations

Publisher

Springer

Publication Date

2012

Language

English

ISBN 10

1461271541

ISBN 13

9781461271543

Binding

Taschenbuch

Condition

Neu

Dimensions

Weight

698 grams

Seller catalogs

B�cher

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

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