Controlled Markov Processes and Viscosity Solutions by Wendell H. Fleming, Halil Mete Soner.

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 dyna...

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Bibliographic Details
Main Authors: Fleming, Wendell H. (Wendell Helms), 1928- (Author), Soner, Halil Mete (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Published: New York, NY : Springer New York : Imprint: Springer, 2006.
Edition:2nd ed. 2006.
Series:Stochastic Modelling and Applied Probability, 25
Springer eBook Collection.
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.