Ergodic control of diffusion processes
By: Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
Contributors: Borkar, Vivek S.; Ghosh, Mrinal K., 1956-
Series: Encyclopedia of mathematics and its applications -- 143
Publisher: Cambridge University Press
Published: 2011
Place of publication: Cambridge; New York
Language: eng
ISBN-13: 9780521768405
Subjects: MATHEMATICS / Probability & Statistics / General; Diffusion processes; Ergodic theory
Description: "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"--
Notes: Includes bibliographical references and indexes.
Table of contents: title: 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.