Controlled Markov Processes and Viscosity Solutions
Fleming, Wendell H. / Soner, Halil Mete![Controlled Markov Processes and Viscosity Solutions](https://support.digitalhusky.com/media/annotations/sorted/105/10521267/CHSBZCOP0310521267.jpg)
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 di...