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" Ergodic control of diffusion processes / "
Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
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BL
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| Record Number
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631233
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| Doc. No
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dltt
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| Main Entry
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Arapostathis, Ari,1954-
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| Title & Author
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Ergodic control of diffusion processes /\ Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
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| Publication Statement
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Cambridge ;New York :: Cambridge University Press,, 2012
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| Series Statement
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Encyclopedia of mathematics and its applications ;; 143
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| Page. NO
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xvi, 323 p. ;; 24 cm
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| ISBN
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9780521768405
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: 0521768403
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| Bibliographies/Indexes
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Includes bibliographical references and indexes
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| Contents
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Machine generated contents note: Preface; 1. Introduction; 2. Controlled diffusions; 3. Nondegenerate controlled diffusions; 4. Various topics in nondegenerate diffusions; 5. Controlled switching diffusions; 6. Controlled martingale problems; 7. Degenerate controlled diffusions; 8. Controlled diffusions with partial observations; Appendix; References; Index of symbols; Subject index
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| Abstract
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"This comprehensive volume on ergodic control for diffusions highlights intuition alongside technical arguments. A concise account of Markov process theory is followed by a complete development of the fundamental issues and formalisms in control of diffusions. This then leads to a comprehensive treatment of ergodic control, a problem that straddles stochastic control and the ergodic theory of Markov processes. The interplay between the probabilistic and ergodic-theoretic aspects of the problem, notably the asymptotics of empirical measures on one hand, and the analytic aspects leading to a characterization of optimality via the associated Hamilton-Jacobi-Bellman equation on the other, is clearly revealed. The more abstract controlled martingale problem is also presented, in addition to many other related issues and models. Assuming only graduate-level probability and analysis, the authors develop the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research"--
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"This comprehensive volume on ergodic control for diffusions highlights intuition alongside technical arguments. A concise account of Markov process theory is followed by a complete development of the fundamental issues and formalisms in control of diffusions. This then leads to a comprehensive treatment of ergodic control, a problem that straddles stochastic control and the ergodic theory of Markov processes. The interplay between the probabilistic and ergodic-theoretic aspects of the problem, notably the asymptotics of empirical measures on one hand, and the analytic aspects leading to a characterization of optimality via the associated Hamilton-Jacobi-Bellman equation on the other, is clearly revealed. The more abstract controlled martingale problem is also presented, in addition to many other related issues and models. Assuming only graduate-level probability and analysis, the authors develop the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research"--
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| Subject
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Diffusion processes
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| Subject
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Ergodic theory
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| Dewey Classification
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519.2/33
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| LC Classification
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QA274.75.A73 2011
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| Added Entry
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Borkar, Vivek S
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Ghosh, Mrinal K.,1956-
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