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"This book gives a self-contained and systematic exposition of the major optimal control theory for continuous-time stochastic diffusion processes, including the Pontryagin type maximum principle (MP) featuring second-order adjoint equations, the Bellman dynamic programming (DP) method via viscosity solution theory, and the Kalman linear-quadratic (LQ) models with indefinite cost functionals.
A major feature of the controlled systems under consideration is that the controls enter into both the drifts and the diffusions, making it fundamentally different from the deterministic systems. The main theme of the book is on establishing relations between MP and DP, or essentially those between Hamiltonian systems and Hamilton-Jacobi-Bellman (HJB) equations."--BOOK JACKET.
"This book can be used as a textbook for graduate students majoring in stochastic controls and applications. Some knowledge in measure theory and real analysis will be helpful. It can also serve as a reference for researchers in applied probability, control theory, operations research, physics, economics, and finance."--BOOK JACKET.
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Previews available in: English
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Edition | Availability |
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1
Stochastic Controls: Hamiltonian Systems and HJB Equations
2012, Springer London, Limited
in English
1461214661 9781461214663
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2
Stochastic Controls: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
June 22, 1999, Springer
Hardcover
in English
- 1 edition
0387987231 9780387987231
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"Stochastic calculus serves as a fundamental tool throughout this book."
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