A note on general Tauberian-type results for controlled stochastic dynamics

DOI10.1214/ECP.V20-4142MaRDI QIDQ907971zbMATH OpenFDO

Authors Dan Goreac

Publication date 2 February 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

optimal controlstochastic controljump-diffusionasymptotic controllong-run averageTauberian results

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Random measures (60G57) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

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Cited in

(3)

• scientific article; zbMATH DE number 5606171 (Why is no real title available?)
• Representation formulas for limit values of long run stochastic optimal controls
• Limit value for optimal control with general means

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