Controlled Markov Processes and Viscosity Solutions

• Main Authors: Fleming, Wendell H. (Author), Soner, H.M (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2006.
• Edition: Second Edition.
• Series: Stochastic Modelling and Applied Probability, 25
• Subjects: Mathematics.; Operations research.; Decision making.; Economics, Mathematical.; System theory.; Probabilities.; Control engineering.; Robotics.; Mechatronics.; Probability Theory and Stochastic Processes.; Systems Theory, Control.; Control, Robotics, Mechatronics.; Operation Research/Decision Theory.; Quantitative Finance.

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. Stochastic control problems are treated using the dynamic programming approach. The authors approach stochastic control problems by the method of dyna...