A note on controlled diffusions on line with time-averaged cost

DOI10.1016/S0167-6911(84)80044-4MaRDI QIDQ790787zbMATH OpenOpenAlexFDO

Authors Vivek Borkar

Publication date 1984

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6911(84)80044-4

zbMATH Keywords

controlled diffusionscontrolled drifttime-averaged cost

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

Cites work

• scientific article; zbMATH DE number 3727306 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• A criterion for invariant measures of markov processes
• Correction to: Criteria for recurrence and existence of invariant measures for multidimensional diffusions
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On Filippov's Implicit Functions Lemma
• On Minimum Cost Per Unit Time Control of Markov Chains

Cited in

(3)

• The probabilistic structure of controlled diffusion processes
• Corrections to ``Ergodic control problem for one-dimensional diffusions with near-monotone cost
• Ergodic control problem for one-dimensional diffusions with near-monotone cost

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