Stochastic Optimal Control: The Discrete-Time Case (Optimization and Neural Computation Series) [Paperback] [2007] (Author) Dimitri P. Bertsekas, Steven E. Shreve, Dimitri P Bertsekas, Steven E Shreve, Dimitri P Bertsekas, Steven E Shreve, Steven E. Sh...
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.