A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions

DOI10.1137/110850529zbMath1252.93125arXiv1110.1273OpenAlexW3103273170WikidataQ60167488 ScholiaQ60167488MaRDI QIDQ3143241

Vivek S. Borkar, Aristotle Arapostathis

Publication date: 29 November 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.1273

zbMATH Keywords

Hamilton-Jacobi-Bellman equationergodic controlmonotone dynamical systemscontrolled diffusionsreverse martingalesrelative value iteration

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Diffusion processes (60J60) Markov and semi-Markov decision processes (90C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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