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Stochastic Controls

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Cover for Stochastic Controls
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Jiongmin 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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  • Jiongmin Yong

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  • Xun Yu Zhou

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