ABSTRACT
For discounted dynamic programming, the classic reference is Blackwell [1]. For the positive cost case, we refer the reader to Strauch [2]. For the negative cost case, we refer the reader to Blackwell [3,4] and Ornstein [5]. For the average cost case, we refer the reader to Blackwell [6] for early fundamental work, and to Hernandez-Lerma and Lasserre [7] and the references contained there for recent developments. For a study of the measurability issues which arise when considering uncountable sets, we refer the reader to Bertsekas and Shreve [8]. For continuous time stochastic control of diffusions we refer the reader to Lions [9], and to Crandall, Ishii and Lions [10] for a guide to viscosity solutions.
