TY  - BOOK
AU  - Arapostathis,Ari
AU  - Borkar,Vivek S.
AU  - Ghosh,Mrinal K.
ED  - ProQuest (Firm)
TI  - Ergodic control of diffusion processes
T2  - Encyclopedia of mathematics and its applications
AV  - QA274.75 .A73 2012
U1  - 519.2/33 23
PY  - 2012///
CY  - Cambridge, New York
PB  - Cambridge University Press
KW  - Diffusion processes
KW  - Ergodic theory
KW  - Electronic books
N1  - Includes bibliographical references and indexes; 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; Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries
N2  - "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"--
UR  - https://ebookcentral.proquest.com/lib/bcsl-ebooks/detail.action?docID=891237
ER  -