A note on controlled diffusions with long finite horizon

DOI10.1016/0167-6911(91)90059-NzbMATH Open0728.93067OpenAlexW2043835793MaRDI QIDQ805584FDOQ805584

Authors: Mrinal K. Ghosh, Steven I. Marcus 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0167-6911(91)90059-n

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zbMATH Keywords

HJB equationControlled diffusion processesLyapunov stability conditionstable Markov control

Mathematics Subject Classification ID

Markov processes (60J99) Stochastic systems in control theory (general) (93E03)

Cites Work

• Title not available (Why is that?)
• On optimality criteria for dynamic programs with long finite horizons
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• Ergodic control of multidimensional diffusions. II: Adaptive control
• The value function in ergodic control of diffusion processes with partial observations
• Rates of Weak Convergence for the Multidimensional Central Limit Theorem

Cited In (4)

• A pseudo-Markov property for controlled diffusion processes
• Controlled diffusion processes on infinite horizon with the overtaking criterion
• A remark on the attainable distributions of controlled diffusions
• Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate

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