Ergodic Control of Diffusion Processes

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.

Author: Ari Arapostathis, Vivek S. Borkar, Mrinal K. Ghosh
Publisher: Cambridge University Press
Published: 11/30/2011
Pages: 340
Binding Type: Hardcover
Weight: 1.45lbs
Size: 9.30h x 6.20w x 0.90d
ISBN: 9780521768405

About the Author
Arapostathis, Ari: - Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin.Borkar, Vivek S.: - Vivek S. Borkar is a Senior Professor in the School of Technology and Computer Science at the Tata Institute of Fundamental Research in Mumbai.Ghosh, Mrinal K.: - Mrinal K. Ghosh is a Professor in the Department of Mathematics at the Indian Institute of Science in Bangalore.