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Ergodic control of diffusion processes / Ari Arapostathis; Vivek S. Borkar; Mrinal K. Ghosh

By: 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
Subject(s): Additional physical formats: Online-Ausg.: Ergodic Control of Diffusion Processes. Online-Ausg. Cambridge : Cambridge University Press, 2011. Online-Ressource (1 online resource (340 p.)) | Erscheint auch als: Ergodic Control of Diffusion Processes. Online-Ausgabe New York : Cambridge University Press, 2011. 1 online resource (342 pages)MSC: MSC: *93E03 | 60J60 | 37A99 | 28D99RVK: RVK: SK 810 | SK 820LOC classification:
  • 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
Holdings
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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