Overtaking optimality for controlled Markov-modulated diffusions

DOI10.1080/02331934.2011.565417zbMath1252.49038MaRDI QIDQ3145053

Beatris Adriana Escobedo-Trujillo, Onésimo Hernández-Lerma

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.565417

zbMATH Keywords

ergodicity; Hamilton-Jacobi-Bellman equations; bias optimality; overtaking optimality; average optimality criteria; controlled Markov-modulated diffusions

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60J60: Diffusion processes

49K45: Optimality conditions for problems involving randomness

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Controlled Switching Diffusions Under Ambiguity: The Average Criterion

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