Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems by Xi-Ren Cao
English | PDF,EPUB | 2020 | 376 Pages | ISBN : 3030418456 | 34 MB
This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming.