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Book by Fleming Wendell H Soner HM
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This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance.
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- VerlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Erscheinungsdatum1992
- ISBN 10 0387979271
- ISBN 13 9780387979274
- EinbandTapa dura
- SpracheEnglisch
- Anzahl der Seiten452
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
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