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Ergodic control of diffusion processes /

Arapostathis, Ari, (1954-)

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Ergodic control of diffusion processes /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Ergodic control of diffusion processes // Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
作者:	Arapostathis, Ari,
其他作者:	Borkar, Vivek S.,
面頁冊數:	1 online resource (xvi, 323 pages) :digital, PDF file(s).
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
內容註:	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.
標題:	Diffusion processes. -
電子資源:	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 /
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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.
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