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Stochastic Controls
Jiongmin Yong, Xun Yu Zhou (Broschiert, Englisch)
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Beschreibung
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. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
27.09.2012
Sprache
Englisch
EAN
9781461271543
Herausgeber
Springer US
Serien- oder Bandtitel
Stochastic Modelling and Applied Probability
Sonderedition
Nein
Autor
Jiongmin Yong, Xun Yu Zhou
Seitenanzahl
439
Einbandart
Broschiert
Buch Untertitel
Hamiltonian Systems and HJB Equations
Schlagwörter
Martingale, Stochastic calculus, Stochastic processes, Variance, stochastic process
Thema-Inhalt
PBT - Wahrscheinlichkeitsrechnung und Statistik
PBWL - Stochastik
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer Nature Customer Service Center GmbH, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com
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