Skip to content
Register Sign in Wishlist
Ergodic Control of Diffusion Processes

Ergodic Control of Diffusion Processes

$118.00 (C)

Part of Encyclopedia of Mathematics and its Applications

  • Date Published: January 2012
  • availability: In stock
  • format: Hardback
  • isbn: 9780521768405

$ 118.00 (C)

Add to cart Add to wishlist

Other available formats:

Looking for an examination copy?

If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact providing details of the course you are teaching.

Product filter button
About the Authors
  • 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.

    • A modern, coherent treatment of scattered results on ergodic control
    • Contains new and improved results at the cutting edge of research
    • Written by three primary contributors in the field
    Read more

    Reviews & endorsements

    'Assuming good knowledge in analysis, probability theory and stochastic processes, [this book provides] a careful and comprehensive treatment of ergodic control of diffusion processes.' Kurt Marti, Zentralblatt MATH

    Customer reviews

    Review was not posted due to profanity


    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?


    Product details

    • Date Published: January 2012
    • format: Hardback
    • isbn: 9780521768405
    • length: 340 pages
    • dimensions: 240 x 161 x 20 mm
    • weight: 0.67kg
    • contains: 1 b/w illus.
    • availability: In stock
  • Table of Contents

    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
    Index of symbols
    Subject index.

  • Authors

    Ari Arapostathis, University of Texas, Austin
    Ari Arapostathis is a Professor in the Department of Electrical and Computer Engineering at the University of Texas, Austin.

    Vivek S. Borkar, Tata Institute of Fundamental Research, Mumbai, India
    Vivek S. Borkar is a Senior Professor in the School of Technology and Computer Science at the Tata Institute of Fundamental Research in Mumbai.

    Mrinal K. Ghosh, Indian Institute of Science, Bangalore
    Mrinal K. Ghosh is a Professor in the Department of Mathematics at the Indian Institute of Science in Bangalore.

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner Please see the permission section of the catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×
warning icon

Turn stock notifications on?

You must be signed in to your Cambridge account to turn product stock notifications on or off.

Sign in Create a Cambridge account arrow icon

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.


Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

Please fill in the required fields in your feedback submission.