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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| Autor corporatiu: | |
| Altres autors: | , |
| Format: | Electrònic eBook |
| Idioma: | anglès |
| Publicat: |
Cambridge ; New York :
Cambridge University Press,
2012.
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| Col·lecció: | Encyclopedia of mathematics and its applications ;
v. 143. |
| Matèries: | |
| Accés en línia: | An electronic book accessible through the World Wide Web; click to view |
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| Sumari: | "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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| Descripció física: | xvi, 323 p. : ill. |
| Bibliografia: | Includes bibliographical references and indexes. |