Stochastic Controls: Hamiltonian Systems and HJB Equations

Jiongmin Yong, Xun Yu Zhou

ISBN 10: 1461271541 / ISBN 13: 9781461271543

Editore: Springer, 2012

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**INTERNATIONAL EDITION** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments go through via USPS/UPS/DHL with tracking numbers. Great professional textbook selling experience and expedite shipping service. Codice articolo ABE-16772626366

Dati bibliografici

Titolo: Stochastic Controls: Hamiltonian Systems and...

Casa editrice: Springer

Data di pubblicazione: 2012

Legatura: Soft cover

Condizione: New

Condizione sovraccoperta: New

Edizione: 1st Edition

Descrizione articolo

Riassunto:

This monograph unifies the two key approaches in solving optimal control problems. The book will be of interest to researchers and graduate students in applied probability, control engineering, and econometrics.

Recensione:

From the reviews:

SIAM REVIEW

"The presentation of this book is systematic and self-contained...Summing up, this book is a very good addition to the control literature, with original features not found in other reference books. Certain parts could be used as basic material for a graduate (or postgraduate) course...This book is highly recommended to anyone who wishes to study the relationship between Pontryagin’s maximum principle and Bellman’s dynamic programming principle applied to diffusion processes."

MATHEMATICS REVIEW

This is an authoratative book which should be of interest to researchers in stochastic control, mathematical finance, probability theory, and applied mathematics. Material out of this book could also be used in graduate courses on stochastic control and dynamic optimization in mathematics, engineering, and finance curricula. Tamer Basar, Math. Review