Ergodic Control of Diffusion Processes

Informationen zum Autor Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin. Klappentext The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control. Zusammenfassung This is the first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control. Assuming only graduate-level probability and analysis! it develops the theory in a manner that makes it accessible to users in applied mathematics! engineering! finance and operations research. Inhaltsverzeichnis Preface; Frequently used notation; 1. Markov processes and ergodic properties; 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; Epilogue; Appendix; References; Index of symbols; Subject index.

Product details

• Authors: Ari Arapostathis, Ari (University of Texas Arapostathis, Ari Borkar Arapostathis, Vivek S. Borkar, Vivek S. (Tata Institute of Fundamental Research Borkar, Mrinal K. Ghosh, Mrinal K. (Indian Institute of Science Ghosh
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 17.11.2011
• EAN: 9780521768405
• ISBN: 978-0-521-76840-5
• No. of pages: 340
• Series: Encyclopedia of Mathematics and Its Applications; Encyclopedia of Mathematics an; Encyclopedia of Mathematics and its Applications; Encyclopedia of Mathematics an
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics