Ergodic Control of Diffusion Processes (BOK)

Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh

969,00 96900
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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.

Produktfakta

Språk Engelsk Engelsk Innbinding Innbundet
Utgitt 2011 Forfatter Ari Arapostathis, Mrinal K. Ghosh, Vivek S. Borkar
Forlag
CAMBRIDGE UNIVERSITY PRESS
ISBN 9780521768405
Antall sider 340 Dimensjoner 15,6cm x 23,4cm x 2cm
Vekt 670 gram Leverandør Bertram Trading Ltd
Emner og form Probability & statistics, Stochastics