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Ergodic Control of Diffusion Processes, Hardback Book

Description

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.

Information

  • Format: Hardback
  • Pages: 340 pages, 1 Line drawings, unspecified
  • Publisher: Cambridge University Press
  • Publication Date:
  • Category: Probability & statistics
  • ISBN: 9780521768405

£85.99

£74.85

 
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