Controlled Markov processes and viscosity solutions
著者
書誌事項
Controlled Markov processes and viscosity solutions
（Applications of mathematics, 25）
Springer-Verlag, c1993
- : us
- : gw
大学図書館所蔵 件 / 全77件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. [409]-424) and index
内容説明・目次
内容説明
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.
「Nielsen BookData」 より
