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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge ; New York
Cambridge University Press
2012
|
| Schriftenreihe: | Encyclopedia of mathematics and its applications
143 |
| Schlagworte: | |
| 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: | xvi, 323 p. ill |
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| 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 ; New York |b Cambridge University Press |c 2012 | |
| 300 | |a xvi, 323 p. |b ill | ||
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| 490 | 0 | |a Encyclopedia of mathematics and its applications |v 143 | |
| 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"-- | ||
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| 700 | 1 | |a Ghosh, Mrinal K. |d 1956- |e Sonstige |4 oth | |
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Datensatz im Suchindex
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| author | Arapostathis, Ari 1954- |
| author_facet | Arapostathis, Ari 1954- |
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| building | Verbundindex |
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| 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 |
| format | Electronic eBook |
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| id | DE-604.BV045252972 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:12:53Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030640948 |
| oclc_num | 853659723 |
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| physical | xvi, 323 p. ill |
| psigel | ZDB-30-PAD |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Cambridge University Press |
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| 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 ; New York Cambridge University Press 2012 xvi, 323 p. ill txt rdacontent c rdamedia cr 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"-- 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 1\p DE-604 Borkar, Vivek S. Sonstige oth Ghosh, Mrinal K. 1956- Sonstige oth ProQuest (Firm) Sonstige oth 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Arapostathis, Ari 1954- Ergodic control of diffusion processes 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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