A note on controlled diffusions on line with time-averaged cost

DOI10.1016/S0167-6911(84)80044-4zbMATH Open0534.93072OpenAlexW2059790583MaRDI QIDQ790787FDOQ790787

Vivek Borkar

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(84)80044-4

zbMATH Keywords

controlled diffusionscontrolled drifttime-averaged cost

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

Cites Work

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• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• A criterion for invariant measures of markov processes
• On Filippov's Implicit Functions Lemma
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On Minimum Cost Per Unit Time Control of Markov Chains
• Correction to: Criteria for recurrence and existence of invariant measures for multidimensional diffusions
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Cited In (3)

• The probabilistic structure of controlled diffusion processes
• Corrections to ``Ergodic control problem for one-dimensional diffusions with near-monotone cost
• Ergodic control problem for one-dimensional diffusions with near-monotone cost

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