A note on controlled diffusions with long finite horizon

DOI10.1016/0167-6911(91)90059-NMaRDI QIDQ805584zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

HJB equationControlled diffusion processesLyapunov stability conditionstable Markov control

Mathematics Subject Classification ID

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

Recommendations

• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• Controlled diffusions with constraints. II
• scientific article; zbMATH DE number 176290
• Controlled diffusions with constraints
• Optimal controls for diffusion in R^ d- a min-max max-min formula for the minimal cost growth rate

Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• Ergodic control of multidimensional diffusions. II: Adaptive control
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• On optimality criteria for dynamic programs with long finite horizons
• Rates of Weak Convergence for the Multidimensional Central Limit Theorem
• The value function in ergodic control of diffusion processes with partial observations

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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