Non-uniqueness of solutions of the Hamilton-Jacobi-Bellman equation for time-average control

DOI10.1134/S0005117917080045zbMATH Open1377.93172OpenAlexW2748595573MaRDI QIDQ1688366FDOQ1688366

Authors: Svetlana Anulova 

Publication date: 5 January 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117917080045

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationergodic control1-dimensional diffusion processnon-degenerate diffusionnon-uniqueness of solutions to Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

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

Cites Work

• Ergodic control of diffusion processes.
• On the Poisson equation and diffusion approximation. I
• Title not available (Why is that?)
• On the control of diffusion processes
• On the optimal control of stationary diffusion processes with inaccessible boundaries and no discounting

Cited In (1)

• Time-average control of martingale problems: the hamilton-jacobi-bellman equation

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