Controlled Markov Processes and Viscosity Solutions

Fleming, Wendell H. /Soner, H. Mete

ISBN 10: 3540979271 / ISBN 13: 9783540979272

Editore: Springer Berlin, 1993

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Zustand: Sehr gut - Gepflegter, sauberer Zustand.1993. Hinweis: Cover abweichend. Aus der Auflösung einer renommierten Bibliothek. Kann Stempel beinhalten. | Seiten: 428 | Sprache: Deutsch | Produktart: Bücher. Codice articolo 289295/202

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Titolo: Controlled Markov Processes and Viscosity ...

Casa editrice: Springer Berlin

Data di pubblicazione: 1993

Legatura: Rilegato

Condizione: Sehr gut

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Riassunto:

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.