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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Page 42
... exists a constant R1 such that | p | ≤ B and L ( s , y , v ) + v⋅p ≤ c1 imply v≤ R1 . By ( 9.2c ) and ( 9.6 ) L ( S , XR ( S ) , UR ( S ) ) + UR ( s ) · PR ( 8 ) ≤ L ( s , xp ( s ) , 0 ) ≤ c1 for almost all sЄ [ t , t1 ] . By ...
... exists a constant R1 such that | p | ≤ B and L ( s , y , v ) + v⋅p ≤ c1 imply v≤ R1 . By ( 9.2c ) and ( 9.6 ) L ( S , XR ( S ) , UR ( S ) ) + UR ( s ) · PR ( 8 ) ≤ L ( s , xp ( s ) , 0 ) ≤ c1 for almost all sЄ [ t , t1 ] . By ...
Page 166
... exists u " EL such that ( 3.15 ) u * ( s , y ) = arg min [ ƒ ( s , y , v ) · D ̧W ( s , y ) + tra ( s , y , v ) D2W ( s , y ) + L ( s , y , v ) ] for all ( s , y ) E Q , then W ( t , x ) = J ( t , x ; u * ) for all ( t , x ) Є Q. Proof ...
... exists u " EL such that ( 3.15 ) u * ( s , y ) = arg min [ ƒ ( s , y , v ) · D ̧W ( s , y ) + tra ( s , y , v ) D2W ( s , y ) + L ( s , y , v ) ] for all ( s , y ) E Q , then W ( t , x ) = J ( t , x ; u * ) for all ( t , x ) Є Q. Proof ...
Page 200
... exists in the generalized sense and ( 10.8 ) AoW ( t , x ) + L ( t , x , v ) ≥ 0 for Lebesgue almost all ( t , x ) Є Qo . Theorem 10.1 . Let V be the value function . Then AV exists in the generalized sense . Moreover , V is a ...
... exists in the generalized sense and ( 10.8 ) AoW ( t , x ) + L ( t , x , v ) ≥ 0 for Lebesgue almost all ( t , x ) Є Qo . Theorem 10.1 . Let V be the value function . Then AV exists in the generalized sense . Moreover , V is a ...
Other editions - View all
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