The value function in ergodic control of diffusion processes with partial observations

DOI10.1080/17442509908834213zbMath0947.93038OpenAlexW2044935060MaRDI QIDQ4719387

Vivek S. Borkar

Publication date: 13 November 2000

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834213

zbMATH Keywords

ergodic controlvalue functionpartially observed diffusionsvanishing discount limit

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

Related Items (8)

Optimal control of semilinear stochastic evolution equations ⋮ On a controlled eigenvalue problem ⋮ An eigenvalue approach to the risk sensitive control problem in near monotone case ⋮ Controlled diffusions with constraints ⋮ Stochastic approximation with `controlled Markov' noise ⋮ Sequential entry and exit decisions with an ergodic performance criterion ⋮ Dynamic programming for ergodic control with partial observations. ⋮ A note on controlled diffusions with long finite horizon

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• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• Dynamic Programming Conditions for Partially Observable Stochastic Systems

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