"
Skip to content
Topic:
Stochastic Control and the Hamilton-Jacobi-Bellman Equation
The Verification Theorem for Classical HJB Solutions
The Dynamic Programming Principle for Controlled Diffusions
Merton Portfolio Choice with CRRA Utility
Merton Consumption and Investment with CRRA Preferences
Infinite-Horizon LQR and the Algebraic Riccati Equation
Hamiltonian Optimization and Feedback Control Laws
Finite-Horizon Linear-Quadratic Regulation
Deriving the HJB Equation from Short-Time Dynamic Programming
Cost Functionals and Value Functions
Controlled Diffusions and Admissible Controls
←
older