| Ergodic Control of Diffusion Processes Contributor(s): Arapostathis, Ari (Author), Borkar, Vivek S. (Author), Ghosh, Mrinal K. (Author) |
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ISBN: 0521768403 ISBN-13: 9780521768405 Publisher: Cambridge University Press OUR PRICE: $124.45 Product Type: Hardcover - Other Formats Published: January 2012 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519.233 |
| LCCN: 2011031547 |
| Series: Encyclopedia of Mathematics and Its Applications |
| Physical Information: 0.9" H x 6.2" W x 9.3" (1.45 lbs) 340 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |
Contributor Bio(s): Arapostathis, Ari: - Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin.Borkar, Vivek S.: - Vivek S. Borkar is a Senior Professor in the School of Technology and Computer Science at the Tata Institute of Fundamental Research in Mumbai.Ghosh, Mrinal K.: - Mrinal K. Ghosh is a Professor in the Department of Mathematics at the Indian Institute of Science in Bangalore. |