Book contents
- Frontmatter
- Contents
- Preface
- Part I Stochastic Calculus and Optimal Control Theory
- 1 Foundations of Stochastic Calculus
- 2 Stochastic Differential Equations: Weak Formulation
- 3 Dynamic Programming
- 4 Viscosity Solutions of Hamilton–Jacobi–Bellman Equations
- 5 Classical Solutions of Hamilton–Jacobi–Bellman Equations
- Part II Applications to Mathematical Models in Economics
- Part III Appendices
- Bibliography
- Index
3 - Dynamic Programming
from Part I - Stochastic Calculus and Optimal Control Theory
Published online by Cambridge University Press: 07 September 2011
- Frontmatter
- Contents
- Preface
- Part I Stochastic Calculus and Optimal Control Theory
- 1 Foundations of Stochastic Calculus
- 2 Stochastic Differential Equations: Weak Formulation
- 3 Dynamic Programming
- 4 Viscosity Solutions of Hamilton–Jacobi–Bellman Equations
- 5 Classical Solutions of Hamilton–Jacobi–Bellman Equations
- Part II Applications to Mathematical Models in Economics
- Part III Appendices
- Bibliography
- Index
Summary
- Type
- Chapter
- Information
- Stochastic Control and Mathematical ModelingApplications in Economics, pp. 77 - 96Publisher: Cambridge University PressPrint publication year: 2010
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