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Controlled Markov Processes and Viscosity Solutions

✍ Scribed by Wendell H. Fleming, Halil Mete Soner

Publisher: Springer
Year: 2006
Tongue: English
Leaves: 441
Series: Applications of mathematics 25
Edition: 2nd ed
Category: Library

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✦ Synopsis

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 dynamic programming.

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