Time-average control of martingale problems: the hamilton-jacobi-bellman equation
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Publication:3827156
DOI10.1080/17442508908833578zbMath0673.49009MaRDI QIDQ3827156
Publication date: 1989
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508908833578
Hamilton-Jacobi-Bellman equation; martingale problem; average cost; Controlled diffusions; controlled queues; Martingale methods
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
49L99: Hamilton-Jacobi theories