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Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability)
Controlled Markov Processes and Viscosity Solutions - Stochastic Modelling and Applied Probability
Author: Wendell H. Fleming, H.M. Soner
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 a...  more »
ISBN-13: 9780387979274
ISBN-10: 0387979271
Publication Date: 12/18/1992
Pages: 452
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Publisher: Springer
Book Type: Hardcover
Other Versions: Paperback
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