rent-now

Rent More, Save More! Use code: ECRENTAL

5% off 1 book, 7% off 2 books, 10% off 3+ books

9780387987231

Stochastic Controls

by ;
  • ISBN13:

    9780387987231

  • ISBN10:

    0387987231

  • Format: Hardcover
  • Copyright: 1999-06-01
  • Publisher: Springer Verlag
  • Purchase Benefits
  • Free Shipping Icon Free Shipping On Orders Over $35!
    Your order must be $35 or more to qualify for free economy shipping. Bulk sales, PO's, Marketplace items, eBooks and apparel do not qualify for this offer.
  • eCampus.com Logo Get Rewarded for Ordering Your Textbooks! Enroll Now
  • Write a Review Icon Write a Review
List Price: $159.99 Save up to $91.95
  • Digital
    $147.42*
    Add to Cart

    DURATION
    PRICE
    *To support the delivery of the digital material to you, a digital delivery fee of $3.99 will be charged on each digital item.

Summary

The maximum principle and dynamic programming are the two most commonly used approaches in solving optimal control problems. These approaches have been developed independently. The theme of this book is to unify these two approaches, and to demonstrate that the viscosity solution theory provides the framework to unify them.

Author Biography

Jiongmin Yong is a professor at the Department of Mathematics, Fudan University, Shanghai, China.

Table of Contents

Preface
Notation
Assumption Index
Problem Index
Basic Stochastic Calculusp. 1
Stochastic Optimal Control Problemsp. 51
Maximum Principle and Stochastic Hamiltonian Systemsp. 101
Dynamic Programming and HJB Equationsp. 157
The Relationship Between the Maximum Principle and Dynamic Programmingp. 217
Linear Quadratic Optimal Control Problemsp. 281
Backward Stochastic Differential Equationsp. 345
Referencesp. 401
Indexp. 433
Table of Contents provided by Blackwell. All Rights Reserved.

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

Rewards Program