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Ergodic control of diffusion processes /

Record Type:	Language materials, printed : 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).
Subject:	Diffusion processes. -
Online resource:	https://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. 82..

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:

527826
Diffusion processes.

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

Dewey Class. No.: 519.2/33

Ergodic control of diffusion processes /
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100 1 $a Arapostathis, Ari, $d 1954- $e author. $3 1443972
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 527826
650 0 $a Ergodic theory. $3 672355
700 1 $a Borkar, Vivek S., $e author. $3 1443973
700 1 $a Ghosh, Mrinal K., $d 1956- $e author. $3 1443974
776 0 8 $i Print version: $z 9780521768405
830 0 $a Encyclopedia of mathematics and its applications ; $v v. 82. $3 833009
856 4 0 $u https://doi.org/10.1017/CBO9781139003605