Controlled diffusion processes on infinite horizon with the overtaking criterion
DOI10.1007/BF01448359zbMATH Open0637.60055MaRDI QIDQ1098487FDOQ1098487
Authors: Arie Leizarowitz 
Publication date: 1988
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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Cites Work
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- Stochastic differential equations with reflecting boundary conditions
- Diffusion processes with boundary conditions
- Linear oblique derivative problems for the uniformly elliptic Hamilton- Jacobi-Bellman equation
- Long-term average cost control problems for continuous time Markov processes: A survey
- Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
- On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
- Existence of Overtaking Optimal Trajectories for Problems with Convex Integrands
- Tracking periodic signals with the overtaking criterion
Cited In (15)
- Blackwell-Nash Equilibria in Zero-Sum Stochastic Differential Games
- Structure of intergenerational risk-sharing plans: optimality and fairness
- Minimizing Infinite Time Horizon Discounted Cost with Mean, Variance, and Bounded Variation Controls
- On the link between infinite horizon control and quasi-stationary distributions
- Optimal ergodic control of Markov diffusion processes with minimum variance
- Characterizations of overtaking optimality for controlled diffusion processes
- Blackwell Optimality for Controlled Diffusion Processes
- Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria
- Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
- Overtaking optimality for controlled Markov-modulated diffusions
- Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate
- Ergodic Control, Bias, and Sensitive Discount Optimality for Markov Diffusion Processes
- On infinite products of stochastic matrices
- Title not available (Why is that?)
- On stochastic optimality for a linear controller with attenuating disturbances
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