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Stochastic control theory: dynamic programming principle
This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a n...
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| Lenguaje: | eng |
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Springer
2015
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| Acceso en línea: | https://dx.doi.org/10.1007/978-4-431-55123-2 http://cds.cern.ch/record/1973544 |