| Description |
1 online resource (340 pages) |
| Series |
Encyclopedia of mathematics and its applications ; no. 143 |
|
Encyclopedia of mathematics and its applications ; no. 143
|
| 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 |
| Notes |
Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Bibliography |
Includes bibliographical references and indexes |
| Subject |
Diffusion processes
|
|
Ergodic theory
|
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Diffusion processes.
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Ergodic theory.
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| Form |
Electronic book
|
| Author |
Borkar, Vivek S., author
|
|
Ghosh, Mrinal K., author
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| ISBN |
9781139003605 (ebook) |
|
1139003607 |
|
9781107101258 (e-book) |
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1107101255 |
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9781107101258 |
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(hardback) |
|
