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Ergodic control of diffusion processes / Ari Arapostathis; Vivek S. Borkar; Mrinal K. Ghosh
Contributor(s): Resource type: Ressourcentyp: BuchBookLanguage: English Series: Encyclopedia of mathematics and its applications ; 143Publisher: Cambridge [u.a.] : Cambridge University Press, 2012Edition: 1. publDescription: XVI, 323 S. ; 24 cmISBN:- 9780521768405
- QA274.75
Contents:
Summary: "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"--Summary: "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"--PPN: PPN: 652491677
| Item type | Home library | Shelving location | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|---|
| Freihandbestand ausleihbar | Fachbibliothek Mathematik | Bibliothek / frei aufgestellt | Stoch. / Ara | Checked out | 17.01.2025 | 36407978090 |
Total holds: 0
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