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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TeilnehmendeR: | |
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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020 | |a 9781107101258 (electronic bk.) | ||
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050 | 4 | |a QA274.75 |b .A73 2012 | |
082 | 0 | 4 | |a 519.2/33 |2 23 |
100 | 1 | |a Arapostathis, Ari, |d 1954- | |
245 | 1 | 0 | |a Ergodic control of diffusion processes |h [electronic resource] / |c Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh. |
260 | |a Cambridge ; |a New York : |b Cambridge University Press, |c 2012. | ||
300 | |a xvi, 323 p. : |b ill. | ||
490 | 1 | |a Encyclopedia of mathematics and its applications ; |v 143 | |
504 | |a Includes bibliographical references and indexes. | ||
505 | 8 | |a 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. | |
520 | |a "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"-- |c Provided by publisher. | ||
533 | |a Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. | ||
650 | 0 | |a Diffusion processes. | |
650 | 0 | |a Ergodic theory. | |
655 | 4 | |a Electronic books. | |
700 | 1 | |a Borkar, Vivek S. | |
700 | 1 | |a Ghosh, Mrinal K., |d 1956- | |
710 | 2 | |a ProQuest (Firm) | |
830 | 0 | |a Encyclopedia of mathematics and its applications ; |v v. 143. | |
856 | 4 | 0 | |u https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=891237 |z Click to View |