Ergodic Control of Diffusion Processes : Encyclopedia of Mathematics and Its Applications Series, Book 143 by Ari Arapostathis

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  • Title: Ergodic Control of Diffusion Processes : Encyclopedia of Mathematics and Its Applications Series, Book 143
  • Author: Ari Arapostathis
  • Category: Other
  • Date: 05/01/13
  • Lenguage: English
  • Pages: unknown
  • ISBN: 9781107085411

 

Ebook description:

This complete quantity on ergodic management for diffusions highlights instinct alongside technical arguments. A concise account of Markov course of idea is adopted by a whole improvement of the basic points and formalisms in management of diffusions. This then results in a complete remedy of ergodic management, an issue that straddles stochastic management and the ergodic idea of Markov processes. The interaction between the probabilistic and ergodic-theoretic facets of the issue, notably the asymptotics of empirical measures on one hand, and the analytic facets resulting in a characterization of optimality by way of the related Hamilton–Jacobi–Bellman equation on the opposite, is clearly revealed. The more summary managed martingale drawback can also be offered, along with many different associated points and fashions. Assuming solely graduate-level chance and evaluation, the authors develop the speculation in a way that makes it accessible to customers in utilized arithmetic, engineering, finance and operations analysis.

 

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