Characterizations of overtaking optimality for controlled diffusion processes

DOI10.1007/s00245-007-9025-6zbMath1162.49025MaRDI QIDQ1021252

Héctor Jasso-Fuentes, Onésimo Hernández-Lerma

Publication date: 8 June 2009

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-9025-6

zbMATH Keywords

controlled diffusions; bias optimality; overtaking optimality; average reward (a.k.a. ergodic reward)

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49J55: Existence of optimal solutions to problems involving randomness

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