An Ergodic Control Problem for Constrained Diffusion Processes: Existence of Optimal Markov Control
DOI10.1137/S0363012901379073zbMATH Open1037.93073OpenAlexW2014259563MaRDI QIDQ4442995FDOQ4442995
Authors: Amarjit Budhiraja 
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012901379073
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ergodic controloptimal Markov controlconstrained processescontrolled martingale problemcontrol of queuing networkscontrolled reflected diffusionsEcheverria's criterionpatchwork martingale problem
Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cited In (12)
- Risk-sensitive ergodic control of reflected diffusion processes in orthant
- Controlled diffusions with constraints. II
- A nonzero-sum risk-sensitive stochastic differential game in the orthant
- Optimal ergodic control of Markov diffusion processes with minimum variance
- Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
- Existence of optimal Markov solutions for ergodic control of Markov processes
- Some New Results on Sample Path Optimality in Ergodic Control of Diffusions
- The Sufficiency of Adjoined Markov Strategies for Controlled Diffusion Processes
- Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations
- Near critical catalyst reactant branching processes with controlled immigration
- On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time
- A numerical method for ergodic optimal control of switching diffusions with reflection
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