عنوان

Ergodic control of diffusion processes /

(Number (ISBN

0521768403

(Number (ISBN

9780521768405

Number

dltt

Title Proper

Ergodic control of diffusion processes /

General Material Designation

[Book]

First Statement of Responsibility

Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Cambridge University Press,

Date of Publication, Distribution, etc.

2012

Specific Material Designation and Extent of Item

xvi, 323 p. ;

Dimensions

24 cm

Series Title

Encyclopedia of mathematics and its applications ;

Volume Designation

143

Text of Note

Includes bibliographical references and indexes

Text of Note

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

8

Text of Note

"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"--

Text of Note

"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"--

Diffusion processes

Ergodic theory

Number

Edition

Class number

Book number

Arapostathis, Ari,1954-

Borkar, Vivek S

Ghosh, Mrinal K.,1956-

Date of Transaction

20120215004405.0

Electronic name

[Book]

Y