Stochastic Controls

Name: Stochastic Controls
Brand: Springer Nature
SKU: 9780387987231
Availability: InStock

Stochastic Controls

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9780387987231

Condition

New

0 Reviews

0 Questions | 0 Answers

Product Description

As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.

Available Colors

N/A

Available Sizes

N/A

1 Offer Price Range: $149.00 - $149.00

BEST PRICE

Single Product Purchase

$134.10

@ Link.springer.com with extra coupon Get Coupon & BUY

Price Comparison

Seller	Contact Seller	List Price	On Sale	Shipping	Best Promo	Final Price	Volume Discount	Financing	Availability	Seller's Page
BEST PRICE 1 Product Purchase @ Link.springer.com Rate Seller This functionality is for registered users only. Go to Login/Register		$149.00	$149.00		10% OFF This deals requires coupon Get Code Here your10off @ Link.springer.com Deals Ends 31/08/2025	$134.10		See Site	In stock	Visit Store