Ergodic control of diffusion processes / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
"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...
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Superior document: | Encyclopedia of mathematics and its applications ; 143 |
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Year of Publication: | 2012 |
Language: | English |
Series: | Encyclopedia of mathematics and its applications ;
v. 143. |
Online Access: | |
Physical Description: | xvi, 323 p. :; ill. |
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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"-- |
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Bibliography: | Includes bibliographical references and indexes. |
ISBN: | 0521768403 9780521768405 9781107101258 (electronic bk.) |
Hierarchical level: | Monograph |
Statement of Responsibility: | Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh. |