The Lagrange approach to ergodic control of diffusions with cost constraints

DOI10.1080/02331934.2012.736992zbMath1308.93227MaRDI QIDQ4981852

Armando Felipe Mendoza-Pérez, Héctor Jasso-Fuentes, Onésimo Hernández-Lerma

Publication date: 20 March 2015

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.736992

zbMATH Keywords

ergodic control; controlled diffusions; constrained control problems

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60J60: Diffusion processes

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Cites Work

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• Characterizations of overtaking optimality for controlled diffusion processes
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• Uniform Recurrence Properties of Controlled Diffusions and Applications to Optimal Control
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• On the Existence of Optimal Controls
• Constrained Average Cost Markov Control Processes in Borel Spaces
• Ergodic Control of Continuous-Time Markov Chains with Pathwise Constraints