Stochastic controls: hamiltonian systems and hjb equations
Auteur :
Yong, J-.M.
Éditeur :
Yong, J-.M.Zhou, X.Y.,
ISBN :
9780387987231
Date de publication :
22 juin 1999
Dimensions :
23,4 x 15,6 x 2,5 cm
Poids :
1820 g
Format :
Laminated cover
Langue :
Anglais
Pays d'origine :
USA
This book unifies the maximum principle and dynamic programming, the two most commonly used approaches in solving optimal control problems. The author shows that the viscosity solution theory provides the unifying framework.