Asymptotic Evolution of a Stochastic Control Problem

DOI10.1137/0323039zbMath0579.93068OpenAlexW2181216359MaRDI QIDQ3703777

R. Tarres

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1137/0323039

zbMATH Keywords

a priori estimatesequationsergodic stochastic controldiscounted Hamilton-Jacobi-Bellman

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear boundary value problems for linear elliptic equations (35J65) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (6)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ The probabilistic structure of controlled diffusion processes ⋮ Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate ⋮ Singular ergodic control for multidimensional Gaussian processes ⋮ Time-average control of martingale problems: the hamilton-jacobi-bellman equation ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS

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