Ergodic Control of Diffusion Processes
1st Edition
Published on 13. August 2013
978-1-139-38258-8 (ISBN)
Description
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.
Reviews / Votes
'Assuming good knowledge in analysis, probability theory and stochastic processes, [this book provides] a careful and comprehensive treatment of ergodic control of diffusion processes.' Kurt Marti, Zentralblatt MATHMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Illustrations
Printed music items; 1 Line drawings, unspecified
File size
3,72 MB
ISBN-13
978-1-139-38258-8 (9781139382588)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Ari Arapostathis | Vivek S. Borkar | Mrinal K. Ghosh
Ergodic Control of Diffusion Processes
Book
11/2011
Cambridge University Press
€142.20
Shipment within 15-20 days
Persons
Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin. Vivek S. Borkar is a Senior Professor in the School of Technology and Computer Science at the Tata Institute of Fundamental Research in Mumbai. Mrinal K. Ghosh is a Professor in the Department of Mathematics at the Indian Institute of Science in Bangalore.
Content
Preface; Frequently used notation; 1. Markov processes and ergodic properties; 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; Epilogue; Appendix; References; Index of symbols; Subject index.
