user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

Ergodic Control and Difussion Processes

Ergodic Control and Difussion Processes

Compartir en:

, ,

(0 Comentarios)
Comenta y valora este libro

pvp.88,50 €

Sin Stock. Posibilidad entre 11 y 20 dias

  • ISBN:9780521768405
  • Editorial: Cambridge University Press
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:340
  • Idiomas:Ingles

Materias:

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.

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.

Otros libros de Borkar, Vivek S.

Otros libros de Economía Cuantitativa