02551nam a2200313 a 4500 vtls000061210 KUKTEM 20251125093318.0 120606t2012 enk f 001 0 eng d 9780521768405 0521768403 201301181147 asmadi 201206061448 safura UMP QA274.75 .A73 2012 Arapostathis, Ari Ergodic control of diffusion processes / Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh Cambridge, UK : Cambridge University Press, 2012 xvi, 323 p. ; 24 cm. Encyclopedia of mathematics and its applications ; 143 Includes bibliographical references and indexes 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 "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 Diffusion processes Ergodic theory Borkar, Vivek S. Ghosh, Mrinal K. Encyclopedia of mathematics and its applications ; 143 0 0 0 0 20000 20000 2019-09-04 340.75 0 QA274.75 .A73 2012 0000069379 2019-09-04 00:00:00 1 340.75 2019-09-04 OPEN VIRTUA40 63503 63509 VTLSSORT0080*0200*0201*0400*0900*1000*2450*2600*3000*4900*5040*5050*5200*6500*6501*7000*7001*8300*9992