Stochastic controls: hamiltonian systems and hjb equations
Auteur :
Yong, Jiongmin
Éditeur :
Yong, JiongminZhou, Xun Yu,
ISBN :
9781461271543
Date de publication :
27 sept. 2012
Dimensions :
23,5 x 15,5 x 2,4 cm
Poids :
706 g
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.