Ergodic control of diffusion processes [electronic resource] / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.

Ergodic control of diffusion processes [electronic resource] / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.

0521768403
9780521768405
9781107101258 (electronic book)

Cambridge ; New York : Cambridge University Press, 2012.

English

xvi, 323 p. : ill.

QA274.75 .A73 2012

519.2/33

"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.

Includes bibliographical references and indexes.

Access limited to authorized users.

Encyclopedia of mathematics and its applications ; v. 143.

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