| Description |
xvi, 323 pages ; 24 cm. |
| Series |
Encyclopedia of mathematics and its applications ; 143
|
|
Encyclopedia of mathematics and its applications ; v. 143.
|
| Bibliography |
Includes bibliographical references and indexes. |
| Contents |
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. |
| 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"-- Provided by publisher. |
| Subject |
Diffusion processes.
|
|
Diffusion processes. |
|
Ergodic theory.
|
|
Ergodic theory. |
| Added Author |
Borkar, Vivek S.
|
|
Ghosh, Mrinal K., 1956-
|
| ISBN |
9780521768405 |
|
0521768403 |
|
