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 3
... cost , and the terminal cost . It is often assumed that h and are convex functions , and that h ( x ) , v ( x ) have a unique minimum at x = 0. A typical example of h is n h ( x ) = Σ [ αi ( Xi ) + + Vi ( Xi ) ̄ ] , i = 1 where a ;, Yi ...
... cost , and the terminal cost . It is often assumed that h and are convex functions , and that h ( x ) , v ( x ) have a unique minimum at x = 0. A typical example of h is n h ( x ) = Σ [ αi ( Xi ) + + Vi ( Xi ) ̄ ] , i = 1 where a ;, Yi ...
Page 129
... cost func- tion and a terminal cost function . Formula ( 2.10 ) expresses ( t , x ) as a total expected cost over the time interval [ t , t1 ] . III.3 Autonomous ( time - homogeneous ) Markov processes Let us now take Io = I = [ 0 ...
... cost func- tion and a terminal cost function . Formula ( 2.10 ) expresses ( t , x ) as a total expected cost over the time interval [ t , t1 ] . III.3 Autonomous ( time - homogeneous ) Markov processes Let us now take Io = I = [ 0 ...
Page 261
... cost per unit time problem ) with cost criterion L ( x , v ) . The dynamic programming equation for this problem is ( 3.4 ) . It turns out that -A equals the minimum average cost per unit time , and W ( x ) has an interpretation as a cost ...
... cost per unit time problem ) with cost criterion L ( x , v ) . The dynamic programming equation for this problem is ( 3.4 ) . It turns out that -A equals the minimum average cost per unit time , and W ( x ) has an interpretation as a cost ...
Contents
Viscosity Solutions | 53 |
Controlled Markov Diffusions in R | 157 |
SecondOrder Case | 213 |
Copyright | |
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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 convergence convex Corollary cylindrical region D₂V defined definition denote dynamic programming equation dynamic programming principle Dynkin formula Example exists exit finite first-order formulation given Hamilton-Jacobi equation Hence HJB equation holds implies inequality initial condition initial data lateral boundary Lebesgue left endpoint Lemma linear Lipschitz continuous Markov chain Markov control policy Markov processes maximum principle minimizing Moreover nonlinear obtain optimal control optimal control problems partial derivatives partial differential equation proof of Theorem prove R₁ reference probability system result satisfies second-order Section stochastic control stochastic differential equation Suppose t₁ Theorem 5.1 tion unique value function variations problem Verification Theorem viscosity solution viscosity subsolution viscosity supersolution yields