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 126
... space of a continuous time Markov process r ( s ) . We shall always assume that is a complete separable metric space . In the spe- cial case when Σ is discrete , then x ( s ) is a continuous time Markov chain . Another case of ...
... space of a continuous time Markov process r ( s ) . We shall always assume that is a complete separable metric space . In the spe- cial case when Σ is discrete , then x ( s ) is a continuous time Markov chain . Another case of ...
Page 126
... space of a continuous time Markov process x ( s ) . We shall always assume that Σ is a complete separable metric space . In the spe- cial case when Σ is discrete , then x ( s ) is a continuous time Markov chain . Another case of ...
... space of a continuous time Markov process x ( s ) . We shall always assume that Σ is a complete separable metric space . In the spe- cial case when Σ is discrete , then x ( s ) is a continuous time Markov chain . Another case of ...
Page 136
... space . We refer to Σ as the state space and U as the control space . Example 6.1 . ( Controlled Markov chain ) . For each constant control v Є U , infinitesimal jumping rates p ( s , x , y , v ) for a finite - state Markov chain are ...
... space . We refer to Σ as the state space and U as the control space . Example 6.1 . ( Controlled Markov chain ) . For each constant control v Є U , infinitesimal jumping rates p ( s , x , y , v ) for a finite - state Markov chain are ...
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 Cą(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