Ergodic Control of Diffusion Processes by Ari Arapostathis
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.-
The Theory of Partitions
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The Banach-Tarski Paradox
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Special Functions
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Equivalents of the Riemann Hypothesis: Volume 1, Arithmetic Equivalents
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Non-Associative Normed Algebras
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Finite Precision Number Systems and Arithmetic
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The Classical Fields
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Handbook of Constructive Mathematics
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Aperiodic Order: Volume 2, Crystallography and Almost Periodicity
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Polynomials with Special Regard to Reducibility
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Boolean Functions
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Categorical Foundations
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Introduction to the Network Approximation Method for Materials Modeling
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Proof Complexity
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Asymptotic Analysis of Random Walks
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Contact Geometry and Nonlinear Differential Equations
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Lie's Structural Approach to PDE Systems
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Sub-Riemannian Geometry
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Combinatorics, Automata and Number Theory
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Variational Methods for Nonlocal Fractional Problems
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Algorithmic Aspects of Graph Connectivity
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Topics in Algorithmic Graph Theory
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Exact and Approximate Controllability for Distributed Parameter Systems
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Mathematics of the Bond Market
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Orthogonal Polynomials in the Spectral Analysis of Markov Processes
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Real Analysis through Modern Infinitesimals
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Introduction to Radon Transforms
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Lattice Sums Then and Now
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The Racah-Wigner Algebra in Quantum Theory
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Boolean Models and Methods in Mathematics, Computer Science, and Engineering
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Exact Constants in Approximation Theory
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An Algebraic Introduction to K-Theory
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Solving Polynomial Equation Systems IV: Volume 4, Buchberger Theory and Beyond
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Infinite Dimensional Optimization and Control Theory
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Banach Algebras and the General Theory of *-Algebras: Volume 1, Algebras and Banach Algebras
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Geometry of Sporadic Groups: Volume 2, Representations and Amalgams
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Ultrametric Pseudodifferential Equations and Applications
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Compound Renewal Processes
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General Orthogonal Polynomials
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The Theory of Information and Coding
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Convex Polytopes and Polyhedra
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Stopping Times and Directed Processes
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Nonnegative Matrices and Applications
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Random Graphs
'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
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.
| SKU | Unavailable |
| ISBN 13 | 9780521768405 |
| ISBN 10 | 0521768403 |
| Title | Ergodic Control of Diffusion Processes |
| Author | Ari Arapostathis |
| Series | Encyclopedia Of Mathematics And Its Applications |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Cambridge University Press |
| Year published | 2011-11-17 |
| Number of pages | 340 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |