Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations

DOI10.1137/S0363012902417619MaRDI QIDQ4652590zbMATH OpenOpenAlexFDO

Authors Vivek Borkar, Amarjit Budhiraja

Publication date 28 February 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012902417619

zbMATH Keywords

couplingHJB equationviscosity solutionsergodic controldomains with cornersoptimal Markov controlconstrained processescontrolled reflected diffusionsoblique Neumann problempseudoatom

Mathematics Subject Classification ID

Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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Cited in

(16)

• On sets of occupational measures generated by a deterministic control system on an infinite time horizon
• Risk-sensitive ergodic control of reflected diffusion processes in orthant
• On the Taylor expansion of value functions
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• A nonzero-sum risk-sensitive stochastic differential game in the orthant
• An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint
• A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost
• Diffusion models and steady-state approximations for exponentially ergodic Markovian queues
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
• Application of Hamilton-Jacobi-Bellman equation/Pontryagin's principle for constrained optimal control
• A d-person differential game with state space constraints
• Reliability by design in distributed power transmission networks
• On viscosity solution of HJB equations with state constraints and reflection control
• The Eigenvalue Problem of Singular Ergodic Control
• Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control

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