Controlled Markov Processes and Viscosity Solutions

Fleming, Wendell H. /Soner, H. Mete

ISBN 10: 3540979271 / ISBN 13: 9783540979272

Verlag: Springer Berlin, 1993

Beschreibung

Zustand: Sehr gut | Sprache: Deutsch | Produktart: Bücher.

Bestandsnummer des Verkäufers 289295/202

Bibliografische Details

• Titel: Controlled Markov Processes and Viscosity Solutions
• Verlag: Springer Berlin
• Erscheinungsjahr: 1993
• Sprache: Englisch
• ISBN-10: 3540979271
• ISBN-13: 9783540979272
• Einband: Hardcover
• Zustand: Sehr gut
• Verkäuferkataloge:
  • Bücher

Über diesen Titel

Inhaltsangabe

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.