Ergodic control of degenerate diffusions

DOI10.1080/07362999708809460zbMath0872.93079OpenAlexW1967281297MaRDI QIDQ3128354

Vivek S. Borkar, Mrinal K. Ghosh, Gopal Krishna Basak

Publication date: 16 April 1997

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://eprints.iisc.ac.in/18949/1/2.pdf

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdegenerate diffusionexistence of optimal controlsergodic control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Representation of asymptotic values for nonexpansive stochastic control systems ⋮ The ergodic problem for some subelliptic operators with unbounded coefficients ⋮ Stochastic optimal control and linear programming approach ⋮ On average control generating families for singularly perturbed optimal control problems with long run average optimality criteria ⋮ A stochastic differential game in the orthrant ⋮ Existence of asymptotic values for nonexpansive stochastic control systems ⋮ The value function in ergodic control of diffusion processes with partial observations ⋮ Asymptotic Control for a Class of Piecewise Deterministic Markov Processes Associated to Temperate Viruses ⋮ Averaging and linear programming in some singularly perturbed problems of optimal control

Cites Work

• Unnamed Item
• Time-average control of martingale problems: Existence of a stationary solution
• Time-average control of martingale problems: A linear programming formulation
• On extremal solutions to stochastic control problems
• A class of limit theorems for singular diffusions
• Stability in distribution for a class of singular diffusions
• On ergodic control of degenerate diffusions
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness