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Ergodic Control of Diffusion Processes
     

Ergodic Control of Diffusion Processes

by Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
 

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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

Overview

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.

Editorial Reviews

From the Publisher
'Assuming good knowledge in analysis, probability theory and stochastic processes, [this book provides] a careful and comprehensive treatment of ergodic control of diffusion processes.' Kurt Marti, Zentralblatt MATH

Product Details

ISBN-13:
9780521768405
Publisher:
Cambridge University Press
Publication date:
11/30/2011
Series:
Encyclopedia of Mathematics and its Applications Series , #143
Pages:
340
Product dimensions:
6.20(w) x 9.30(h) x 0.90(d)

Related Subjects

Meet the Author

Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin.

Vivek S. Borkar is a Senior Professor in the School of Technology and Computer Science at the Tata Institute of Fundamental Research in Mumbai.

Mrinal K. Ghosh is a Professor in the Department of Mathematics at the Indian Institute of Science in Bangalore.

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