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Ergodic Control of Diffusion Processes

Ergodic Control of Diffusion Processes

Ergodic Control of Diffusion Processes
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Ergodic Control of Diffusion Processes Hardback - - 1st Edition

by Mrinal K. Ghosh Vivek S. Borkar Ari Arapostathis

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Cambridge University Press CUP , pp. xvi + 323 . Hardback. New.
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Details

  • Title Ergodic Control of Diffusion Processes
  • Author Mrinal K. Ghosh Vivek S. Borkar Ari Arapostathis
  • Binding Hardback
  • Edition number 1st
  • Edition 1
  • Condition New
  • Pages 340
  • Volumes 1
  • Language ENG
  • Publisher Cambridge University Press CUP , Cambridge
  • Publication date pp. xvi + 323
  • Features Bibliography, Index
  • Bookseller's Inventory # 63077516
  • ISBN 9780521768405 / 0521768403
  • Weight 1.45 lbs (0.66 kg)
  • Dimensions 9.3 x 6.2 x 0.9 in (23.62 x 15.75 x 2.29 cm)
  • Themes
    • Aspects (Academic): Science/Technology Aspects
  • Category Mathematics
  • Library of Congress subjects Ergodic theory, Diffusion processes
  • Library of Congress Catalogue Number 2011031547
  • Dewey Decimal Code 519.233
  • Quantity available 4

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Reader reviews for Ergodic Control of Diffusion Processes

From the publisher

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.
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