東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Ergodic control of diffusion processes /

Arapostathis, Ari, (1954-)

Linked to FindBook

Google Book

Amazon

博客來

Ergodic control of diffusion processes /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Ergodic control of diffusion processes // Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
Author:	Arapostathis, Ari,
other author:	Borkar, Vivek S.,
Description:	1 online resource (xvi, 323 pages) :digital, PDF file(s).
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
[NT 15003449]:	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.
Subject:	Diffusion processes. -
Online resource:	http://dx.doi.org/10.1017/CBO9781139003605
ISBN:	9781139003605 (ebook)

Ergodic control of diffusion processes /
Arapostathis, Ari,1954-

Ergodic control of diffusion processes /Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh. - 1 online resource (xvi, 323 pages) :digital, PDF file(s). - Encyclopedia of mathematics and its applications ;volume 143. - Encyclopedia of mathematics and its applications ;v. 124-125..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

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.

ISBN: 9781139003605 (ebook)Subjects--Topical Terms:

648159
Diffusion processes.

LC Class. No.: QA274.75 / .A73 2012

Dewey Class. No.: 519.2/33

Ergodic control of diffusion processes /
LDR:02526nmm a22003018i 4500 001 2036341
003 UkCbUP
005 20151005020622.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 161119s2012||||enk o ||1 0|eng|d
020 $a 9781139003605 (ebook)
020 $z 9780521768405 (hardback)
035 $a CR9781139003605
040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a QA274.75 $b .A73 2012 $d QA274.75 $e .A73 2012
082 0 0 $a 519.2/33 $2 23
100 1 $a Arapostathis, Ari, $d 1954- $e author. $3 2192413
245 1 0 $a Ergodic control of diffusion processes / $c Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
264 1 $a Cambridge : $b Cambridge University Press, $c 2012.
300 $a 1 online resource (xvi, 323 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
490 1 $a Encyclopedia of mathematics and its applications ; $v volume 143
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
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.
650 0 $a Diffusion processes. $3 648159
650 0 $a Ergodic theory. $3 555691
700 1 $a Borkar, Vivek S., $e author. $3 2192414
700 1 $a Ghosh, Mrinal K., $d 1956- $e author. $3 2192415
776 0 8 $i Print version: $z 9780521768405
830 0 $a Encyclopedia of mathematics and its applications ; $v v. 124-125. $3 1232929
856 4 0 $u http://dx.doi.org/10.1017/CBO9781139003605