| 000 | 02391nam a22003617a 4500 | ||
|---|---|---|---|
| 001 | sulb-eb0016383 | ||
| 003 | BD-SySUS | ||
| 005 | 20160405135336.0 | ||
| 008 | 110124s2011||||enk o ||1 0|eng|d | ||
| 020 | _a9781139003605 (ebook) | ||
| 020 | _z9780521768405 (hardback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP _dBD-SySUS |
||
| 050 | 0 | 0 |
_aQA274.75 _b.A73 2012 |
| 082 | 0 | 0 |
_a519.2/33 _223 |
| 100 | 1 |
_aArapostathis, Ari, _eauthor. |
|
| 245 | 1 | 0 |
_aErgodic Control of Diffusion Processes / _cAri Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh. |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2011. |
|
| 300 |
_a1 online resource (340 pages) : _bdigital, PDF file(s). |
||
| 336 |
_atext _btxt _2rdacontent |
||
| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
||
| 490 | 0 |
_aEncyclopedia of Mathematics and its Applications ; _v143 |
|
| 500 | _aTitle from publisher's bibliographic system (viewed on 04 Apr 2016). | ||
| 520 | _aThis 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. | ||
| 650 | 0 | _aDiffusion processes | |
| 650 | 0 | _aErgodic theory | |
| 700 | 1 |
_aBorkar, Vivek S., _eauthor. |
|
| 700 | 1 |
_aGhosh, Mrinal K., _eauthor. |
|
| 776 | 0 | 8 |
_iPrint version: _z9780521768405 |
| 830 | 0 |
_aEncyclopedia of Mathematics and its Applications ; _v143. |
|
| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1017/CBO9781139003605 |
| 942 |
_2Dewey Decimal Classification _ceBooks |
||
| 999 |
_c37821 _d37821 |
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