Asymptotic Evolution of a Stochastic Control Problem

DOI10.1137/0323039MaRDI QIDQ3703777zbMATH OpenOpenAlexFDO

Authors 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

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

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Cited in

(7)

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

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