Stochastic Controls
Subtitle: Hamiltonian Systems and HJB Equations (Stochastic Modelling and Applied Probability)
Edition: 1 edition
Publisher: Springer
Published: June 22, 1999
Language: eng
Format: Hardcover
Number of pages: 438
ISBN-13: 9780387987231
Subjects: Econometrics; Probability & statistics; Stochastics; Control Theory; Stochastic Processes; Mathematics; Science/Mathematics; Applied; Chaotic Behavior in Systems; General; Mathematics / Statistics; Advanced; Probability & Statistics - General; Hamilton-Jacobi equations; Hamiltonian systems; Mathematical optimization; Stochastic control theory
First sentence: Stochastic calculus serves as a fundamental tool throughout this book.
Description: "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.