Articoli correlati a Ergodic Control of Diffusion Processes
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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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Recensione
'Assuming good knowledge in analysis, probability theory and stochastic processes, [this book provides] a careful and comprehensive treatment of ergodic control of diffusion processes.' Kurt Marti, Zentralblatt MATH
Descrizione del libro
This is the first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control. Assuming only graduate-level probability and analysis, it develops the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreCambridge University Press
- Data di pubblicazione2011
- ISBN 10 0521768403
- ISBN 13 9780521768405
- RilegaturaCopertina rigida
- LinguaInglese
- Numero edizione1
- Numero di pagine340
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ERGODIC CONTROL OF DIFFUSION PROCESSES
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Ergodic Control of Diffusion Processes (Encyclopedia of Mathematics and its Applications, Series Number 143)
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Hardcover. Condizione: new. Hardcover. 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. This is the first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control. Assuming only graduate-level probability and analysis, it develops the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9780521768405
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Gebunden. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This is the first comprehensive account of controlled diffusions with a focus on ergodic or long run average control. Assuming only graduate-level probability and analysis, it develops the theory in a manner that makes it accessible to users in applied ma. Codice articolo 594759965
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