Ergodic problem for optimal stochastic switching

DOI10.1016/0022-247X(90)90367-OMaRDI QIDQ2640865zbMATH OpenWikidataFDO

Authors M. Robin, José-Luis Menaldi, Ben{ôı}t Perthame

Publication date 1990

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247X(90)90367-O

zbMATH Keywords

long run average costNeumann boundary conditionsquasi-variational inequalitiesreflected diffusion processes

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes (60J60)

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Cited in

(12)

• Discrete-time hybrid control in Borel spaces: average cost optimality criterion
• On ergodic control of switching processes
• Ergodic switching control for diffusion-type processes
• scientific article; zbMATH DE number 4057427 (Why is no real title available?)
• An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost
• Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
• Ergodic control of reflected diffusions with jumps
• A numerical method for ergodic optimal control of switching diffusions with reflection
• Ergodic switching control for Markov chains
• Ergodic switching control for Markov-Feller processes. I
• Switching and impulsive control of a reflected diffusion
• Closed-form solutions to stochastic process switching problems

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