Jiongmin Yong, Xun Yu Zhou. Stochastic Controls: Hamiltonian Systems and HJB Equations

Springer, 1999. — 231 p.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.