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Controlled Markov Processes and Viscosity Solutions

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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.

Author(s): Wendell H. Fleming, Halil Mete Soner
Series: Applications of mathematics 25
Edition: 2nd ed
Publisher: Springer
Year: 2006

Language: English
Pages: 441
City: New York