Controlled random degenerate diffusions under long-run average cost

DOI10.1080/17442509708834119MaRDI QIDQ4354635zbMATHOpenAlexFDO

Authors Arnab Bisi, Mrinal K. Ghosh, Gopal K. Basak

Publication date 17 September 1997

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509708834119

zbMATH Keywords

Markov chainHJB equationoptimal controlviscosity solutionrandom diffusions

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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(4)

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• On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
• Ergodic control problem for one-dimensional diffusions with near-monotone cost

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