Stochastic Controls
Publisher: Springer
Published: Sep 27, 2012
Format: paperback
Number of pages: 461
ISBN-13: 9781461271543
Description: 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.
Notes: Source title: Stochastic Controls (Stochastic Modelling and Applied Probability (43))