Ergodic control of diffusion processes

"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 trea...

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Đã lưu trong:
Chi tiết về thư mục
Tác giả chính: Arapostathis, Ari, 1954-
Tác giả của công ty: ebrary, Inc
Tác giả khác: Borkar, Vivek S., Ghosh, Mrinal K., 1956-
Định dạng: Điện tử eBook
Ngôn ngữ:Tiếng Anh
Được phát hành: Cambridge ; New York : Cambridge University Press, 2012.
Loạt:Encyclopedia of mathematics and its applications ; v. 143.
Những chủ đề:
Truy cập trực tuyến:An electronic book accessible through the World Wide Web; click to view
Các nhãn: Thêm thẻ
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Miêu tả
Tóm tắt:"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"--
Mô tả vật lý:xvi, 323 p. : ill.
Thư mục:Includes bibliographical references and indexes.