Overtaking optimality for controlled Markov-modulated diffusions

DOI10.1080/02331934.2011.565417zbMath1252.49038OpenAlexW2062101506MaRDI QIDQ3145053

Beatris Adriana Escobedo-Trujillo, Onésimo Hernández-Lerma

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.565417

zbMATH Keywords

ergodicityHamilton-Jacobi-Bellman equationsbias optimalityovertaking optimalityaverage optimality criteriacontrolled Markov-modulated diffusions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

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Controlled Switching Diffusions Under Ambiguity: The Average Criterion

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