Ergodic Control of Diffusion Processes (Encyclopedia of Mathematics and its Applications, Series Number 143) - Hardcover

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

Hardcover

ISBN 10: 0521768403 ISBN 13: 9780521768405

Publisher: Cambridge University Press, 2012

Synopsis

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.

About this title

Book Description

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.

About the Author

Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2012
• ISBN 10: 0521768403
• ISBN 13: 9780521768405
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 340