Ergodic Control Of Diffusion Processes
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Ergodic Control Of Diffusion Processes
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Author : Ari Arapostathis
language : en
Publisher:
Release Date : 2012
Ergodic Control Of Diffusion Processes written by Ari Arapostathis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Diffusion processes categories.
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.
Ergodic Control Of Diffusion Processes
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Author : Ari Arapostathis
language : en
Publisher: Cambridge University Press
Release Date : 2012
Ergodic Control Of Diffusion Processes written by Ari Arapostathis and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.
Diffusion Processes And Their Sample Paths
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Author : Kiyosi Itô
language : en
Publisher: Springer Science & Business Media
Release Date : 1996-01-05
Diffusion Processes And Their Sample Paths written by Kiyosi Itô and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-01-05 with Mathematics categories.
Since its first publication in 1965 in the series Grundlehren der mathematischen Wissenschaften this book has had a profound and enduring influence on research into the stochastic processes associated with diffusion phenomena. Generations of mathematicians have appreciated the clarity of the descriptions given of one- or more- dimensional diffusion processes and the mathematical insight provided into Brownian motion. Now, with its republication in the Classics in Mathematics it is hoped that a new generation will be able to enjoy the classic text of Itô and McKean.
Ergodicity For Infinite Dimensional Systems
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Author : Giuseppe Da Prato
language : en
Publisher:
Release Date : 1996
Ergodicity For Infinite Dimensional Systems written by Giuseppe Da Prato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Optimal Control Of Diffusion Processes
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Author : Vivek S. Borkar
language : en
Publisher: Longman
Release Date : 1989
Optimal Control Of Diffusion Processes written by Vivek S. Borkar and has been published by Longman this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Science categories.
Stochastic Processes And Applications
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Author : Grigorios A. Pavliotis
language : en
Publisher: Springer
Release Date : 2014-11-19
Stochastic Processes And Applications written by Grigorios A. Pavliotis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-19 with Mathematics categories.
This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Markov Processes And Controlled Markov Chains
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Author : Zhenting Hou
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-01
Markov Processes And Controlled Markov Chains written by Zhenting Hou and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-01 with Mathematics categories.
The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South American and Asian scholars.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-27
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-27 with Mathematics categories.
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types.
Directions In Mathematical Systems Theory And Optimization
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Author : Anders Rantzer
language : en
Publisher: Springer
Release Date : 2003-07-01
Directions In Mathematical Systems Theory And Optimization written by Anders Rantzer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-01 with Computers categories.
For more than three decades, Anders Lindquist has delivered fundamental cont- butions to the ?elds of systems, signals and control. Throughout this period, four themes can perhaps characterize his interests: Modeling, estimation and ?ltering, feedback and robust control. His contributions to modeling include seminal work on the role of splitting subspaces in stochastic realization theory, on the partial realization problem for both deterministic and stochastic systems, on the solution of the rational covariance extension problem and on system identi?cation. His contributions to ?ltering and estimation include the development of fast ?ltering algorithms, leading to a nonlinear dynamical system which computes spectral factors in its steady state, and which provide an alternate, linear in the dimension of the state space, to computing the Kalman gain from a matrix Riccati equation. His further research on the phase portrait of this dynamical system gave a better understanding of when the Kalman ?lter will converge, answering an open question raised by Kalman. While still a student he established the separation principle for stochastic function differential equations, including some fundamental work on optimal control for stochastic systems with time lags. He continued his interest in feedback control by deriving optimal and robust control feedback laws for suppressing the effects of harmonic disturbances. Moreover, his recent work on a complete parameterization of all rational solutions to the Nevanlinna-Pick problem is providing a new approach to robust control design.
Ergodicity Stabilization And Singular Perturbations For Bellman Isaacs Equations
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Author : Olivier Alvarez
language : en
Publisher: American Mathematical Soc.
Release Date : 2010
Ergodicity Stabilization And Singular Perturbations For Bellman Isaacs Equations written by Olivier Alvarez and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
"Volume 204, number 960 (fourth of 5 numbers)."