Controlled Markov processes and viscosity solutions

Author(s)

• Fleming, Wendell Helms
• Soner, H. Mete

Bibliographic Information

Controlled Markov processes and viscosity solutions

Wendell H. Fleming, H. Mete Soner

（Applications of mathematics, 25）

Springer-Verlag, c1993

• : us
• : gw

Note

Includes bibliographical references (p. [409]-424) and index

Description and Table of Contents

Description

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.

by "Nielsen BookData"

Details

• NCID: BA1926190X
• ISBN:
  • 0387979271
  • 3540979271
• LCCN: 92031619
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: New York ; Berlin
• Pages/Volumes: xv, 428 p.
• Size: 24 cm
• Classification:
  • LCC : QA274.7
  • DC20 : 519.2/33
  • NDC8 : 417.1
• Subject Headings:
  • LCSH : Markov processes
  • LCSH : Stochastic control theory
  • LCSH : Viscosity solutions
• Parent Bibliography ID:
  • BA00256802