Controlled Markov Processes and Viscosity Solutions

Versandkostenfrei!
Versandfertig in 6-10 Tagen
127,99 €
inkl. MwSt.
Weitere Ausgaben:
PAYBACK Punkte
64 °P sammeln!
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. The fundamental equation of dynamic programming is a nonlinear evolution equation for the value function. For controlled Markov diffusion processes, this becomes a nonlinear partial differential equation of second order, called a Hamilton-Jacobi-Bellman (HJB) equation. Typically, th...