Ergodic control problem for one-dimensional diffusions with near-monotone cost

DOI10.1016/0167-6911(84)90021-5MaRDI QIDQ802504zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan, Vivek Borkar

Publication date 1984

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

Full work available at URL https://doi.org/10.1016/0167-6911(84)90021-5

zbMATH Keywords

Bellman's equationergodic controlnear- monotonicityone-dimensional diffusionsstable Markov control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Limit theorems in probability theory (60F99) Diffusion processes (60J60) Dynamic programming (90C39) Control/observation systems governed by partial differential equations (93C20)

Review text

This paper deals with the ergodic control of one-dimensional diffusions, governed by controlled stochastic differential equations. From the dynamic programming point of view, the authors derive Bellman's equation of ergodic control. Assuming a near-monotonicity on the cost function and mild conditions on coefficients, they establish the existence and uniqueness of a solution of Bellman's equation and give necessary and sufficient conditions for optimality of a stable Markov control in terms of the equation.

Recommendations

• Ergodic control of degenerate diffusions
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• A simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem
• On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions
• Controlled random degenerate diffusions under long-run average cost

Cites work

• A note on controlled diffusions on line with time-averaged cost
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Long-term average cost control problems for continuous time Markov processes: A survey

Cited in

(8)

• Optimal control of a one-dimensional storage process
• Corrections to ``Ergodic control problem for one-dimensional diffusions with near-monotone cost
• A simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• Controlled random degenerate diffusions under long-run average cost
• On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions
• Convergence of the relative value iteration for the ergodic control problem of nondegenerate diffusions under near-monotone costs
• On a PDE arising in one-dimensional stochastic control problems

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