On averaged control and iteration improvement for a class of multidimensional ergodic diffusions

DOI10.1007/978-981-97-0225-1_10MaRDI QIDQ6612910zbMATH OpenFDO

Authors A. Yu. Veretennikov

Publication date 1 October 2024

Full work available at URL https://doi.org/10.1007/978-981-97-0225-1_10

zbMATH Keywords

ergodic averaged controlergodic Bellman's equationHoward's iteration algorithmmultidimensional ergodic controlled diffusions

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Diffusion processes (60J60) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Cited in

(1)

• On averaged expected cost control for 1D ergodic diffusions with switching

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