Search Images Maps Play YouTube News Gmail Drive More »
Sign in
Books Books 1 - 10 of about 45 related to Controlled Markov Processes and Viscosity Solutions.   

Deterministic and Stochastic Optimal Control

Wendell H. Fleming, Raymond W. Rishel - Mathematics - 2012 - 222 pages
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory ...
Limited preview - About this book

Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

Martino Bardi, Italo Capuzzo-Dolcetta - Language Arts & Disciplines - 2008 - 570 pages
This book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman ...
Limited preview - About this book

Applied Stochastic Control of Jump Diffusions

Bernt Øksendal, Agnès Sulem-Bialobroda - Mathematics - 2006 - 214 pages
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications ...
Limited preview - About this book

Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

Martino Bardi, Italo Capuzzo-Dolcetta - Science - 2009 - 574 pages
This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay ...
Limited preview - About this book

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham - Mathematics - 2009 - 232 pages
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in ...
Limited preview - About this book

Stochastic Theory and Control: Proceedings of a Workshop Held in Lawrence ...

Bozenna Pasik-Duncan - Language Arts & Disciplines - 2002 - 564 pages
This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001 ...
Limited preview - About this book

Average-Cost Control of Stochastic Manufacturing Systems

Suresh P. Sethi, Han-Qin Zhang, Qing Zhang - Business & Economics - 2006 - 324 pages
This book articulates a new theory that shows that hierarchical decision making can in fact lead to a near optimization of system goals. The material in the book cuts across ...
Limited preview - About this book

Discrete-Time Markov Jump Linear Systems

O.L.V. Costa, M.D. Fragoso, R.P. Marques - Mathematics - 2006 - 286 pages
This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time
Limited preview - About this book

The Robust Maximum Principle: Theory and Applications

Vladimir G. Boltyanski, Alexander Poznyak - Science - 2011 - 432 pages
Covering some of the key areas of optimal control theory (OCT), a rapidly expanding field, the authors use new methods to set out a version of OCT’s more refined ‘maximum ...
Limited preview - About this book

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Nizar Touzi - Mathematics - 2012 - 214 pages
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from ...
Limited preview - About this book




  1. My library
  2. Help
  3. Advanced Book Search