Main Ergodic Control of Diffusion Processes Edition: 1
Ergodic Control of Diffusion Processes Edition: 1 cover

Ergodic Control of Diffusion Processes Edition: 1

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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.
Request Code : ZLIB.IO17665222
Categories:
Year:
2022
Publisher:
Cambridge University Press
Language:
English
ISBN 10:
0521768403
ISBN 13:
9780521768405
ISBN:
0521768403, 9780521768405
Series:
Encyclopedia of Mathematics and its Applications

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