A one-dimensional ratio ergodic control problem

MaRDI QIDQ2712225zbMATH OpenFDO

Authors Yasuhiro Fujita

Publication date 23 April 2002

zbMATH Keywords

Bellman equationoptimal ergodic control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

The authors solve the optimal ergodic control problem of minimizing NEWLINE\[NEWLINEK(v)=\lim \inf_{T\to \infty}\left( \int^T_0f(x_t) dt/\int^T_0 g(x_t)dt\right)NEWLINE\]NEWLINE under NEWLINE\[NEWLINEdx_t=b(x_t,v(x_t)) dt+\sqrt {a(x_t)}dw_tNEWLINE\]NEWLINE by solving the corresponding Bellman equation. Proofs are largely omitted.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].

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Cited in

(3)

• Optimal control of a one-dimensional storage process
• A simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem
• An Abelian Limit Approach to a Singular Ergodic Control Problem

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