Stochastic Controls
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Image source: Open LibraryJiongmin YongXun Yu Zhou2 editions
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.
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2 credited authorsSearch language english
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- Open Author
Jiongmin Yong
- Open Author
Xun Yu Zhou
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