Ergodic control of diffusion processes /

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Bibliographic Details
Author / Creator:Arapostathis, Ari, 1954-
Imprint:Cambridge : Cambridge University Press, 2011.
Description:1 online resource (340 pages)
Language:English
Series:Encyclopedia of mathematics and its applications ; no. 143
Encyclopedia of mathematics and its applications ; v. 143.
Subject:
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11831666
Hidden Bibliographic Details
Other uniform titles:Cambridge books online.
Other authors / contributors:Borkar, Vivek S.
Ghosh, Mrinal K., 1956-
Cambridge University Press.
ISBN:9781139003605
1139003607
9780521768405
0521768403
9781107095694
1107095697
9781107089389
1107089387
Notes:Includes bibliographical references and indexes.
Summary:The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.
Other form:9780521768405
Description
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.
Physical Description:1 online resource (340 pages)
Bibliography:Includes bibliographical references and indexes.
ISBN:9781139003605
1139003607
9780521768405
0521768403
9781107095694
1107095697
9781107089389
1107089387