عنوان

Ergodic control of diffusion processes /

شابک

0521768403

شابک

9780521768405

شماره

dltt

عنوان اصلي

Ergodic control of diffusion processes /

نام عام مواد

[Book]

نام نخستين پديدآور

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

محل نشرو پخش و غیره

New York :

نام ناشر، پخش کننده و غيره

Cambridge University Press,

تاریخ نشرو بخش و غیره

2012

نام خاص و کميت اثر

xvi, 323 p. ;

ابعاد

24 cm

عنوان فروست

Encyclopedia of mathematics and its applications ;

مشخصه جلد

143

متن يادداشت

Includes bibliographical references and indexes

متن يادداشت

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

بدون عنوان

8

متن يادداشت

"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"--

متن يادداشت

"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"--

موضوع مستند نشده

Diffusion processes

موضوع مستند نشده

Ergodic theory

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Arapostathis, Ari,1954-

مستند نام اشخاص تاييد نشده

Borkar, Vivek S

مستند نام اشخاص تاييد نشده

Ghosh, Mrinal K.,1956-

تاريخ عمليات

20120215004405.0

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y