Controlled Markov Processes and Viscosity Solutions of Nonlinear Evolution

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These notes are based on a series of lectures delivered at the Scuola Normale Superiore in March 1986. They are intended to explore some connections between the theory of control of Markov stochastic processes and certain classes of nonlinear evolution equations. These connections arise by considering the dynamic programming equation associated with a stochastic control problem. Particular attention is given to controlled Markov diffusion processes on finite dimensional Euclidean space. In that case, the dynamic programming ...

Controlled Markov Processes and Viscosity Solutions of Nonlinear Evolution 1988, Edizioni Della Normale

ISBN-13: 9788876422508

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