Controlled Markov Processes and Viscosity SolutionsThis book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. |
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Results 1-3 of 57
Page 35
... corresponding calculus of variations problem . We shall return to this point in Section 10 . Example 8.1 . Suppose that L = L ( v ) . Then it suffices to consider linear functions x ( · ) in ( 8.2 ) . Indeed , given any Lipschitz ...
... corresponding calculus of variations problem . We shall return to this point in Section 10 . Example 8.1 . Suppose that L = L ( v ) . Then it suffices to consider linear functions x ( · ) in ( 8.2 ) . Indeed , given any Lipschitz ...
Page 154
... corresponding semigroup for the Markov process ( 8 , x ( s ) ) : ( 10.10 ) S ¢ Þ ( t , x ) = To ( t + r , · ) ( x ) . Corresponding to ( 10.7 ) , assume that there exists 0 such that ( 10.11 ) \ ( S ¢ Þ ) ≤ e TM \ ( Þ ) for all ...
... corresponding semigroup for the Markov process ( 8 , x ( s ) ) : ( 10.10 ) S ¢ Þ ( t , x ) = To ( t + r , · ) ( x ) . Corresponding to ( 10.7 ) , assume that there exists 0 such that ( 10.11 ) \ ( S ¢ Þ ) ≤ e TM \ ( Þ ) for all ...
Page 285
... corresponding Markov process started at Xt = x with a fixed control v . Suppose that O is convex and for ɛ € ( 0,1 ] , define a rescaled process X by - X ; = x + ε ( Xg / e - x ) , s > t . Then the infinitesimal generator of the ...
... corresponding Markov process started at Xt = x with a fixed control v . Suppose that O is convex and for ɛ € ( 0,1 ] , define a rescaled process X by - X ; = x + ε ( Xg / e - x ) , s > t . Then the infinitesimal generator of the ...
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Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming,Halil Mete Soner Limited preview - 2006 |
Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming,Halil Mete Soner No preview available - 2006 |
Common terms and phrases
admissible control assume assumptions boundary condition boundary data bounded c₁ C¹(Q calculus of variations Chapter classical solution consider constant continuous on Q convergence convex Corollary cylindrical region defined definition denote dynamic programming equation dynamic programming principle Dynkin formula Example exists exit finite first-order formulation Hamilton-Jacobi equation Hence HJB equation holds implies inequality initial data lateral boundary Lemma lim sup linear Lipschitz continuous Markov chain Markov control policy Markov processes maximum principle minimizing Moreover nonlinear obtain optimal control optimal control problem partial derivatives partial differential equation proof of Theorem prove result satisfies second-order Section semigroup stochastic differential equation Suppose t₁ test function Theorem 5.1 uniformly continuous unique value function variations problem Verification Theorem viscosity solution viscosity subsolution viscosity supersolution yields