MARC Record from marc_columbia

LEADER: 03164mam a22004334a 4500
001 2324880
005 20220616021720.0
008 981223t19991999nyu b 001 0 eng
010 $a 98055411
020 $a0387987231 (acid-free paper)
035 $a(OCoLC)ocm40559759
035 $9APJ4929CU
035 $a(NNC)2324880
035 $a2324880
040 $aDLC$cDLC$dOHX$dOrLoB-B
042 $apcc
050 00 $aQA402.37$b.Y66 1999
072 7 $aQA$2lcco
082 00 $a629.8/312$221
100 1 $aYong, J.$q(Jiongmin),$d1958-$0http://id.loc.gov/authorities/names/nr91006592
245 10 $aStochastic controls :$bHamiltonian systems and HJB equations /$cJiongmin Yong, Xun Yu Zhou.
260 $aNew York :$bSpringer,$c[1999], ©1999.
300 $axx, 438 pages ;$c25 cm.
336 $atext$btxt$2rdacontent
337 $aunmediated$bn$2rdamedia
490 1 $aApplications of mathematics ;$v43
504 $aIncludes bibliographical references (p. [401]-432) and index.
505 00 $gCh. 1.$tBasic Stochastic Calculus --$gCh. 2.$tStochastic Optimal Control Problems --$gCh. 3.$tMaximum Principle and Stochastic Hamiltonian Systems --$gCh. 4.$tDynamic Programming and HJB Equations --$gCh. 5.$tThe Relationship Between the Maximum Principle and Dynamic Programming --$gCh. 6.$tLinear Quadratic Optimal Control Problems --$gCh. 7.$tBackward Stochastic Differential Equations.
520 1 $a"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.
520 8 $aA 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.
520 8 $a"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.
650 0 $aStochastic control theory.$0http://id.loc.gov/authorities/subjects/sh92001443
650 0 $aMathematical optimization.$0http://id.loc.gov/authorities/subjects/sh85082127
650 0 $aHamiltonian systems.$0http://id.loc.gov/authorities/subjects/sh85058563
650 0 $aHamilton-Jacobi equations.$0http://id.loc.gov/authorities/subjects/sh85058558
700 1 $aZhou, Xun Yu.$0http://id.loc.gov/authorities/names/n98112455
830 0 $aApplications of mathematics ;$v43.$0http://id.loc.gov/authorities/names/n42002583
852 00 $boff,eng$hQA402.37$i.Y66 1999
852 00 $bmat$hQA402.37$i.Y66 1999