Stochastic optimal control. The discrete time case

zbMath0471.93002MaRDI QIDQ1158123

Dimitri P. Bertsekas, Steven E. Shreve

Publication date: 1978

Published in: Mathematics in Science and Engineering (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingstochastic optimal controlanalytic setspavingsmeasurability problemsdiscrete time control systemouter integrals

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Decision theory (91B06) Dynamic programming in optimal control and differential games (49L20) Contents, measures, outer measures, capacities (28A12) Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Discrete-time control/observation systems (93C55) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99)

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