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Stochastic Optimal Control: The Discrete-Time Case
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Stochastic Optimal Control: The Discrete-Time Case
by Dimitri P. Bertsekas, Steven E. Shreve
Publisher: Athena Scientific 1996
ISBN/ASIN: 1886529035
Number of pages: 331
Description:
This research monograph is the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including the treatment of the intricate measure-theoretic issues.