Ergodic control of diffusion processes
- Arapostathis, Ari, 1954-
- Cambridge ; New York : Cambridge University Press, 2012.
- Physical description
- xvi, 323 p. ; 24 cm.
- Encyclopedia of mathematics and its applications ; v. 143.
QA274.75 .A73 2012
- Unknown QA274.75 .A73 2012
- Includes bibliographical references (p. -317) and indexes.
- 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"-- Provided by publisher.
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- Publication date
- Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
- Encyclopedia of mathematics and its applications ; 143