| 000 | 02551nam a2200313 a 4500 | ||
|---|---|---|---|
| 001 | vtls000061210 | ||
| 003 | KUKTEM | ||
| 005 | 20251125093318.0 | ||
| 008 | 120606t2012 enk f 001 0 eng d | ||
| 020 | _a9780521768405 | ||
| 020 | _a0521768403 | ||
| 039 | 9 |
_a201301181147 _basmadi _y201206061448 _zsafura |
|
| 040 | _aUMP | ||
| 090 | _aQA274.75 .A73 2012 | ||
| 100 | 1 | _aArapostathis, Ari | |
| 245 | 1 | 0 |
_aErgodic control of diffusion processes / _cAri Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh |
| 260 |
_aCambridge, UK : _bCambridge University Press, _c2012 |
||
| 300 |
_axvi, 323 p. ; _c24 cm. |
||
| 490 | 1 |
_aEncyclopedia of mathematics and its applications ; _v143 |
|
| 504 | _aIncludes bibliographical references and indexes | ||
| 505 | 0 | _aMachine 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 | |
| 520 |
_a"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"-- _cProvided by publisher |
||
| 650 | 0 | _aDiffusion processes | |
| 650 | 0 | _aErgodic theory | |
| 700 | 1 | _aBorkar, Vivek S. | |
| 700 | 1 | _aGhosh, Mrinal K. | |
| 830 | 0 |
_aEncyclopedia of mathematics and its applications ; _v143 |
|
| 999 |
_aVIRTUA40 _c63503 _d63509 |
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