Optimal Control of Jump-Markov Processes and Viscosity Solutions

  • Halil Mete Soner
Conference paper

DOI: 10.1007/978-1-4613-8762-6_29

Part of the The IMA Volumes in Mathematics and Its Applications book series (IMA, volume 10)
Cite this paper as:
Soner H.M. (1988) Optimal Control of Jump-Markov Processes and Viscosity Solutions. In: Fleming W., Lions PL. (eds) Stochastic Differential Systems, Stochastic Control Theory and Applications. The IMA Volumes in Mathematics and Its Applications, vol 10. Springer, New York, NY

Abstract

We investigate the Bellman equation that arises in the optimal control of Markov processes. This is a fully nonlinear integro-differential equation. The notion of viscosity solutions is introduced and then existence and uniqueness results are obtained. Also, the connection between the optimal control problem and the Bellman equation is developed.

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Copyright information

© Springer-Verlag New York Inc. 1988

Authors and Affiliations

  • Halil Mete Soner
    • 1
  1. 1.Deparment of MathematicsCarnegie-Mellon UniversityPittsburghUSA

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