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Author Arapostathis, Ari, 1954-

Title Ergodic control of diffusion processes [electronic resource] / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.

Imprint Cambridge ; New York : Cambridge University Press, 2012.

Copies

Location Call No. OPAC Message Status
 Axe ProQuest E-Book  Electronic Book    ---  Available
Description xvi, 323 p. : ill.
Series Encyclopedia of mathematics and its applications ; 143
Encyclopedia of mathematics and its applications ; v. 143.
Bibliography Includes bibliographical references and indexes.
Contents 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.
Summary "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"-- Provided by publisher.
Reproduction Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Subject Diffusion processes.
Ergodic theory.
Genre/Form Electronic books.
Added Author Borkar, Vivek S.
Ghosh, Mrinal K., 1956-
ProQuest (Firm)
ISBN 0521768403
9780521768405
9781107101258 (e-book)

 
    
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