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...
-д хадгалсан:
| Үндсэн зохиолч: | |
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| Байгууллагын зохиогч: | |
| Бусад зохиолчид: | , |
| Формат: | Цахим Цахим ном |
| Хэл сонгох: | англи |
| Хэвлэсэн: |
Cambridge ; New York :
Cambridge University Press,
2012.
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| Цуврал: | Encyclopedia of mathematics and its applications ;
v. 143. |
| Нөхцлүүд: | |
| Онлайн хандалт: | An electronic book accessible through the World Wide Web; click to view |
| Шошгууд: |
Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!
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| Тойм: | "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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| Биет тодорхойлолт: | xvi, 323 p. : ill. |
| Номзүй: | Includes bibliographical references and indexes. |