Stochastic Controls - (Stochastic Modelling and Applied Probability) by Jiongmin Yong & Xun Yu Zhou (Hardcover)

About the Book

This book unifies the maximum principle and dynamic programming, the two most commonly used approaches in solving optimal control problems. The author shows that the viscosity solution theory provides the unifying framework.

Book Synopsis

This monograph unifies the two key approaches in solving optimal control problems. The book will be of interest to researchers and graduate students in applied probability, control engineering, and econometrics.

Review Quotes

From the reviews:

SIAM REVIEW

"The presentation of this book is systematic and self-contained...Summing up, this book is a very good addition to the control literature, with original features not found in other reference books. Certain parts could be used as basic material for a graduate (or postgraduate) course...This book is highly recommended to anyone who wishes to study the relationship between Pontryagin's maximum principle and Bellman's dynamic programming principle applied to diffusion processes."

MATHEMATICS REVIEW

This is an authoratative book which should be of interest to researchers in stochastic control, mathematical finance, probability theory, and applied mathematics. Material out of this book could also be used in graduate courses on stochastic control and dynamic optimization in mathematics, engineering, and finance curricula. Tamer Basar, Math. Review