Ergodic maximum principle for stochastic systems

DOI10.1007/s00245-017-9448-7zbMath1427.60131arXiv1610.07027OpenAlexW2540126310MaRDI QIDQ2422351

Carlo Orrieri, Gianmario Tessitore, Petr Veverka

Publication date: 19 June 2019

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

Full work available at URL: https://arxiv.org/abs/1610.07027

zbMATH Keywords

stochastic maximum principledissipative systemsbackward stochastic differential equationstochastic ergodic control problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Related Items

The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon, Optimal Distributed Control of a Stochastic Cahn--Hilliard Equation

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