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Stochastic Optimal Control: The Discrete-Time Case
by Dimitri P. Bertsekas, Steven E. Shreve
Publisher: Athena Scientific 1996
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Description of this Ebook
"Bertsekas and Shreve have written a fine book. The exposition is extremely clear and a helpful introductory chapter provides orientation and a guide to the rather intimidating mass of literature on the subject. Apart from anything else, the book serves as an excellent introduction to the arcane world of analytic sets and other lesser known byways of measure theory."
Mark H. A. Davis, Imperial College, in IEEE Trans. on Automatic Control "