Ergodic control of diffusion processes:
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 treat...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2012
|
| Schriftenreihe: | Encyclopedia of mathematics and its applications
volume 143 |
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xvi, 323 pages) |
| ISBN: | 9781139003605 |
| DOI: | 10.1017/CBO9781139003605 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV043940739 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 161206s2012 |||| o||u| ||||||eng d | ||
| 020 | |a 9781139003605 |c Online |9 978-1-139-00360-5 | ||
| 024 | 7 | |a 10.1017/CBO9781139003605 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9781139003605 | ||
| 035 | |a (OCoLC)956514674 | ||
| 035 | |a (DE-599)BVBBV043940739 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-92 | ||
| 082 | 0 | |a 519.2/33 |2 23 | |
| 084 | |a SK 810 |0 (DE-625)143257: |2 rvk | ||
| 100 | 1 | |a Arapostathis, Ari |d 1954- |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Ergodic control of diffusion processes |c Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2012 | |
| 300 | |a 1 online resource (xvi, 323 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Encyclopedia of mathematics and its applications |v volume 143 | |
| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015) | ||
| 505 | 8 | |a 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 | |
| 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 | ||
| 650 | 4 | |a Diffusion processes | |
| 650 | 4 | |a Ergodic theory | |
| 650 | 0 | 7 | |a Kontrolltheorie |0 (DE-588)4032317-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ergodentheorie |0 (DE-588)4015246-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Diffusionsprozess |0 (DE-588)4274463-5 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Diffusionsprozess |0 (DE-588)4274463-5 |D s |
| 689 | 0 | 1 | |a Ergodentheorie |0 (DE-588)4015246-7 |D s |
| 689 | 0 | 2 | |a Kontrolltheorie |0 (DE-588)4032317-1 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Borkar, Vivek S. |e Sonstige |4 oth | |
| 700 | 1 | |a Ghosh, Mrinal K. |d 1956- |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druckausgabe |z 978-0-521-76840-5 |
| 856 | 4 | 0 | |u https://doi.org/10.1017/CBO9781139003605 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029349709 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u https://doi.org/10.1017/CBO9781139003605 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/CBO9781139003605 |l FHN01 |p ZDB-20-CBO |q FHN_PDA_CBO |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804176881638965248 |
|---|---|
| any_adam_object | |
| author | Arapostathis, Ari 1954- |
| author_facet | Arapostathis, Ari 1954- |
| author_role | aut |
| author_sort | Arapostathis, Ari 1954- |
| author_variant | a a aa |
| building | Verbundindex |
| bvnumber | BV043940739 |
| classification_rvk | SK 810 |
| collection | ZDB-20-CBO |
| contents | 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 |
| ctrlnum | (ZDB-20-CBO)CR9781139003605 (OCoLC)956514674 (DE-599)BVBBV043940739 |
| dewey-full | 519.2/33 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/33 |
| dewey-search | 519.2/33 |
| dewey-sort | 3519.2 233 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1017/CBO9781139003605 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03651nmm a2200553zcb4500</leader><controlfield tag="001">BV043940739</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">161206s2012 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781139003605</subfield><subfield code="c">Online</subfield><subfield code="9">978-1-139-00360-5</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/CBO9781139003605</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9781139003605</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)956514674</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043940739</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-92</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.2/33</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 810</subfield><subfield code="0">(DE-625)143257:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Arapostathis, Ari</subfield><subfield code="d">1954-</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Ergodic control of diffusion processes</subfield><subfield code="c">Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">2012</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xvi, 323 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Encyclopedia of mathematics and its applications</subfield><subfield code="v">volume 143</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from publisher's bibliographic system (viewed on 05 Oct 2015)</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Diffusion processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ergodic theory</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kontrolltheorie</subfield><subfield code="0">(DE-588)4032317-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ergodentheorie</subfield><subfield code="0">(DE-588)4015246-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Diffusionsprozess</subfield><subfield code="0">(DE-588)4274463-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Diffusionsprozess</subfield><subfield code="0">(DE-588)4274463-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Ergodentheorie</subfield><subfield code="0">(DE-588)4015246-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Kontrolltheorie</subfield><subfield code="0">(DE-588)4032317-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Borkar, Vivek S.</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Ghosh, Mrinal K.</subfield><subfield code="d">1956-</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druckausgabe</subfield><subfield code="z">978-0-521-76840-5</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/CBO9781139003605</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-20-CBO</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-029349709</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9781139003605</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">BSB_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/CBO9781139003605</subfield><subfield code="l">FHN01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">FHN_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043940739 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:14Z |
| institution | BVB |
| isbn | 9781139003605 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029349709 |
| oclc_num | 956514674 |
| open_access_boolean | |
| owner | DE-12 DE-92 |
| owner_facet | DE-12 DE-92 |
| physical | 1 online resource (xvi, 323 pages) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO FHN_PDA_CBO |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Encyclopedia of mathematics and its applications |
| spelling | Arapostathis, Ari 1954- Verfasser aut Ergodic control of diffusion processes Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh Cambridge Cambridge University Press 2012 1 online resource (xvi, 323 pages) txt rdacontent c rdamedia cr rdacarrier Encyclopedia of mathematics and its applications volume 143 Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Diffusion processes Ergodic theory Kontrolltheorie (DE-588)4032317-1 gnd rswk-swf Ergodentheorie (DE-588)4015246-7 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 s Ergodentheorie (DE-588)4015246-7 s Kontrolltheorie (DE-588)4032317-1 s 1\p DE-604 Borkar, Vivek S. Sonstige oth Ghosh, Mrinal K. 1956- Sonstige oth Erscheint auch als Druckausgabe 978-0-521-76840-5 https://doi.org/10.1017/CBO9781139003605 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Arapostathis, Ari 1954- Ergodic control of diffusion processes 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 Diffusion processes Ergodic theory Kontrolltheorie (DE-588)4032317-1 gnd Ergodentheorie (DE-588)4015246-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| subject_GND | (DE-588)4032317-1 (DE-588)4015246-7 (DE-588)4274463-5 |
| 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 Kontrolltheorie (DE-588)4032317-1 gnd Ergodentheorie (DE-588)4015246-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| topic_facet | Diffusion processes Ergodic theory Kontrolltheorie Ergodentheorie Diffusionsprozess |
| url | https://doi.org/10.1017/CBO9781139003605 |
| work_keys_str_mv | AT arapostathisari ergodiccontrolofdiffusionprocesses AT borkarviveks ergodiccontrolofdiffusionprocesses AT ghoshmrinalk ergodiccontrolofdiffusionprocesses |