Ergodic control of diffusion processes /
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| Author / Creator: | Arapostathis, Ari, 1954- |
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| 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 |
| 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. |
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| Physical Description: | 1 online resource (340 pages) |
| Bibliography: | Includes bibliographical references and indexes. |
| ISBN: | 9781139003605 1139003607 9780521768405 0521768403 9781107095694 1107095697 9781107089389 1107089387 |