Ergodic control of diffusion processes:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2012
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Encyclopedia of mathematics and its applications
143 |
| Schlagworte: | |
| Online-Zugang: | Cover image Contributor biographical information Publisher description Table of contents only Inhaltsverzeichnis |
| Beschreibung: | "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 |
| Beschreibung: | XVI, 323 S. 24 cm |
| ISBN: | 9780521768405 0521768403 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | ERGODIC CONTROL OF DIFFUSION PROCESSES
/ ARAPOSTATHIS, ARI
: 2011
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Arapostathis, Ari 1954- Borkar, Vivek S. 1954- Ghosh, Mrinal K. 1956- |
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| author_facet | Arapostathis, Ari 1954- Borkar, Vivek S. 1954- Ghosh, Mrinal K. 1956- |
| author_role | aut aut aut |
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| dewey-sort | 3519.2 233 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| edition | 1. publ. |
| format | Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:23:41Z |
| institution | BVB |
| isbn | 9780521768405 0521768403 |
| language | English |
| lccn | 2011031547 |
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| physical | XVI, 323 S. 24 cm |
| publishDate | 2012 |
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| series | Encyclopedia of mathematics and its applications |
| series2 | Encyclopedia of mathematics and its applications |
| spelling | Arapostathis, Ari 1954- Verfasser (DE-588)1018262318 aut Ergodic control of diffusion processes Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh 1. publ. Cambridge Cambridge University Press 2012 XVI, 323 S. 24 cm txt rdacontent n rdamedia nc rdacarrier Encyclopedia of mathematics and its applications 143 "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 Diffusion processes Ergodic theory Ergodentheorie (DE-588)4015246-7 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Kontrolltheorie (DE-588)4032317-1 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 s Ergodentheorie (DE-588)4015246-7 s Kontrolltheorie (DE-588)4032317-1 s DE-604 Borkar, Vivek S. 1954- Verfasser (DE-588)171737091 aut Ghosh, Mrinal K. 1956- Verfasser (DE-588)17130389X aut Encyclopedia of mathematics and its applications 143 (DE-604)BV000903719 143 http://assets.cambridge.org/97805217/68405/cover/9780521768405.jpg Cover image http://catdir.loc.gov/catdir/enhancements/fy1114/2011031547-b.html Contributor biographical information http://catdir.loc.gov/catdir/enhancements/fy1114/2011031547-d.html Publisher description http://catdir.loc.gov/catdir/enhancements/fy1114/2011031547-t.html Table of contents only LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025273463&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Arapostathis, Ari 1954- Borkar, Vivek S. 1954- Ghosh, Mrinal K. 1956- Ergodic control of diffusion processes Encyclopedia of mathematics and its applications Diffusion processes Ergodic theory Ergodentheorie (DE-588)4015246-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd Kontrolltheorie (DE-588)4032317-1 gnd |
| subject_GND | (DE-588)4015246-7 (DE-588)4274463-5 (DE-588)4032317-1 |
| title | Ergodic control of diffusion processes |
| title_auth | Ergodic control of diffusion processes |
| title_exact_search | Ergodic control of diffusion processes |
| title_full | Ergodic control of diffusion processes Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh |
| title_fullStr | Ergodic control of diffusion processes Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh |
| title_full_unstemmed | Ergodic control of diffusion processes Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh |
| title_short | Ergodic control of diffusion processes |
| title_sort | ergodic control of diffusion processes |
| topic | Diffusion processes Ergodic theory Ergodentheorie (DE-588)4015246-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd Kontrolltheorie (DE-588)4032317-1 gnd |
| topic_facet | Diffusion processes Ergodic theory Ergodentheorie Diffusionsprozess Kontrolltheorie |
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