02406nam a22003618a 4500001001600000003000700016005001700023006001900040007001500059008004100074020002600115020002900141040002400170050002500194082001700219100003200236245012000268264005200388300005900440336002600499337002600525338003600551490006400587500007300651520104400724650002401768650001901792700003101811700003101842776003501873830006501908856007101973CR9781139003605UkCbUP20180107143414.0m|||||o||d||||||||cr||||||||||||110124s2011||||enk     s     ||1 0|eng|d  a9781139003605 (ebook)  z9780521768405 (hardback)  aUkCbUPcUkCbUPerda00aQA274.75 b.A73 201200a519.2/332231 aArapostathis, Ari,eauthor.10aErgodic Control of Diffusion Processes / [electronic resource]cAri Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh. 1aCambridge :bCambridge University Press,c2011.  a1 online resource (340 pages) :bdigital, PDF file(s).  atextbtxt2rdacontent  acomputerbc2rdamedia  aonline resourcebcr2rdacarrier0 aEncyclopedia of Mathematics and its Applications ;vno. 143  aTitle from publisher's bibliographic system (viewed on 09 Oct 2015).  aThis 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. 0aDiffusion processes 0aErgodic theory1 aBorkar, Vivek S.,eauthor.1 aGhosh, Mrinal K.,eauthor.08iPrint version: z9780521768405 0aEncyclopedia of Mathematics and its Applications ;vno. 143.40uhttp://dx.doi.org/10.1017/CBO9781139003605zCambridge Books Online