000			02815nam a22003858i 4500
001			CR9781139003605
003			UkCbUP
005			20200124160221.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			110124s2012||||enk o ||1 0|eng|d
020			_a9781139003605 (ebook)
020			_z9780521768405 (hardback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aQA274.75 _b.A73 2012
082	0	0	_a519.2/33 _223
100	1		_aArapostathis, Ari, _d1954- _eauthor.
245	1	0	_aErgodic control of diffusion processes / _cAri Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh.
264		1	_aCambridge : _bCambridge University Press, _c2012.
300			_a1 online resource (xvi, 323 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aEncyclopedia of mathematics and its applications ; _vvolume 143
500			_aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
505	8		_aMachine 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.
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., _d1956- _eauthor.
776	0	8	_iPrint version: _z9780521768405
830		0	_aEncyclopedia of mathematics and its applications ; _vv. 143.
856	4	0	_uhttps://doi.org/10.1017/CBO9781139003605
999			_c516721 _d516719