Coverart for item
The Resource Ergodic control of diffusion processes, Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh

Ergodic control of diffusion processes, Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh

Label
Ergodic control of diffusion processes
Title
Ergodic control of diffusion processes
Statement of responsibility
Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
Creator
Contributor
Subject
Language
eng
Summary
"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"--
Member of
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1954-
http://library.link/vocab/creatorName
Arapostathis, Ari
Dewey number
519.2/33
Index
index present
LC call number
QA274.75
LC item number
.A73 2011
Literary form
non fiction
Nature of contents
  • bibliography
  • statistics
http://library.link/vocab/relatedWorkOrContributorDate
1956-
http://library.link/vocab/relatedWorkOrContributorName
  • Borkar, Vivek S
  • Ghosh, Mrinal K.
Series statement
Encyclopedia of mathematics and its applications
Series volume
143
http://library.link/vocab/subjectName
  • Diffusion processes
  • Ergodic theory
Label
Ergodic control of diffusion processes, Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
Instantiates
Publication
Bibliography note
Includes bibliographical references and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Markov processes and ergodic properties -- Controlled diffusions -- Nondegenerate controlled diffusions -- Various topics in nondegenerate diffustions -- Controlled switching diffusions -- Controlled martingale problems -- Degenerate controlled diffusions -- Controlled diffusions with partial observations
Control code
727702114
Dimensions
24 cm
Extent
xvi, 323 pages
Isbn
9780521768405
Lccn
2011031547
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)727702114
Label
Ergodic control of diffusion processes, Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
Publication
Bibliography note
Includes bibliographical references and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Markov processes and ergodic properties -- Controlled diffusions -- Nondegenerate controlled diffusions -- Various topics in nondegenerate diffustions -- Controlled switching diffusions -- Controlled martingale problems -- Degenerate controlled diffusions -- Controlled diffusions with partial observations
Control code
727702114
Dimensions
24 cm
Extent
xvi, 323 pages
Isbn
9780521768405
Lccn
2011031547
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)727702114

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...