3 ms·

I think the bellman equation (which is used extensively in reinforcement learning) is also taught in stochastic calculus for finance (except in the continuous f

I think the bellman equation (which is used extensively in reinforcement learning) is also taught in stochastic calculus for finance (except in the continuous form?). https://en.wikipedia.org/wiki/Hamilton%E2%80%93Jacobi%E2%80%93Bellman_equation https://en.wikipedia.org/wiki/Hamilton%E2%80%93Jacobi%E2%80%... My memory is hazy so there might not be a real connection here.

jey 9y ago
Yup, and a lot more! The Hamilton-Jacobi-Bellman equations come up in anything that can be formulated as an optimal control problem. I'm not an expert, but he is: http://www.athenasc.com/dpbook.html http://www.athenasc.com/dpbook.html
waynenilsen 9y ago
Yes see book by oksendal