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...
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| Corporate Author: | |
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge ; New York :
Cambridge University Press,
2012.
|
| Series: | Encyclopedia of mathematics and its applications ;
v. 143. |
| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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| 001 | ebr10746218 | ||
| 003 | CaPaEBR | ||
| 006 | m o u | ||
| 007 | cr cn||||||||| | ||
| 008 | 110725s2012 enka sb 001 0 eng d | ||
| 010 | |z 2011031547 | ||
| 020 | |z 0521768403 | ||
| 020 | |z 9780521768405 | ||
| 020 | |z 9781107101258 (e-book) | ||
| 040 | |a CaPaEBR |c CaPaEBR | ||
| 035 | |a (OCoLC)856017708 | ||
| 050 | 1 | 4 | |a QA274.75 |b .A73 2012eb |
| 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. |b Palo Alto, Calif. : |c ebrary, |d 2013. |n Available via World Wide Web. |n Access may be limited to ebrary affiliated libraries. | ||
| 650 | 0 | |a Diffusion processes. | |
| 650 | 0 | |a Ergodic theory. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 700 | 1 | |a Borkar, Vivek S. | |
| 700 | 1 | |a Ghosh, Mrinal K., |d 1956- | |
| 710 | 2 | |a ebrary, Inc. | |
| 830 | 0 | |a Encyclopedia of mathematics and its applications ; |v v. 143. | |
| 856 | 4 | 0 | |u http://site.ebrary.com/lib/daystar/Doc?id=10746218 |z An electronic book accessible through the World Wide Web; click to view |
| 999 | |c 197653 |d 197653 | ||