Ergodic Control of Diffusion Processes Ari Arapostathis

ISBN: 9781139382588

Published: August 13th 2013

ebook

340 pages


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Ergodic Control of Diffusion Processes  by  Ari Arapostathis

Ergodic Control of Diffusion Processes by Ari Arapostathis
August 13th 2013 | ebook | PDF, EPUB, FB2, DjVu, talking book, mp3, ZIP | 340 pages | ISBN: 9781139382588 | 10.19 Mb

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 ofMoreThis 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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