【下载】高级宏观基础必备——Hamilton-Jacobi-Bellman Equation

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Dynamic Programming and the Hamilton-Jacobi-Bellman Equation Chapter_19 Hamilton–Jacobi–Bellman.pdf (165.54 KB)

2009-11-25 20:08:22 上传

在论坛上只看到一本Hamilton-Jacobi-Bellman Equation的中文不清晰版本，现上传一本英文本，HJB是动态宏观经济学基本方法，龚刚老师的随机动态宏观经济学坛里有就不再上传了，里面也有对这个方法的介绍，学习必备，推荐研读

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关键词：hamilton equation bellman Milton Jacobi 经济学 英文 中文 动态

多谢楼主！这里粘贴一段Wikipedia对 Hamilton–Jacobi–Bellman (HJB) equation 的介绍：

The Hamilton–Jacobi–Bellman (HJB) equation is a partial differential equation which is central to optimal control theory. Classical variational problems, for example, the brachistochrone problem can be solved using this method. The HJB method can be generalized to stochastic systems as well.

The solution of the HJB equation is the 'value function', which gives the optimal cost-to-go for a given dynamical system with an associated cost function. The solution is open loop, but it also permits the solution of the closed loop problem.

The equation is a result of the theory of dynamic programming which was pioneered in the 1950s by Richard Bellman and coworkers.[1] The corresponding discrete-time equation is usually referred to as the Bellman equation. In continuous time, the result can be seen as an extension of earlier work in classical physics on the Hamilton-Jacobi equation by William Rowan Hamilton and Carl Gustav Jacob Jacobi.

链接是http://en.wikipedia.org/wiki/Ham ... %93Bellman_equation

多谢楼主啊

收了多谢楼主

多谢楼主!!!!!

多谢楼主！这个好难啊...

楼主，这是什么教程的第19章？谢谢分享！

HJB确实是很经典的东西~

很好的学习英文和经济的好书！

谢谢楼主，看看