9780387987231 - stochastic controls: hamiltonian systems and hjb equations (stochastic modelling and applied probability, 43, band 43) von yong, jiongmin; zhou, xun yu (2 Ergebnisse)
Sprache: Englisch
Verlag: Springer 1999
Serie: Stochastic Modelling and Applied Probability, Buch 2 von 30. Buch 2 von 30 - Stochastic Modelling and Applied Probability
- Hardcover
Anbieter: Ria Christie Collections, Uxbridge, Vereinigtes KönigreichRia Christie Collections
Verkäufer/-in kontaktierenVerkäufer/-in mit 5 SternenZustand: Neu
EUR 188,90
EUR 13,88 VersandVersand von Vereinigtes Königreich nach USAAnzahl: Mehr als 20 verfügbar
Zustand: New. In English.
Sprache: Englisch
Verlag: Springer, Springer 1999
Serie: Stochastic Modelling and Applied Probability, Buch 2 von 30. Buch 2 von 30 - Stochastic Modelling and Applied Probability
- Hardcover
Anbieter: AHA-BUCH GmbH, Einbeck, DeutschlandAHA-BUCH GmbH
Verkäufer/-in kontaktierenVerkäufer/-in mit 5 SternenZustand: Neu
EUR 201,36
EUR 64,28 VersandVersand von Deutschland nach USAAnzahl: 1 verfügbar
Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 th…at 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.
