Time-average control of martingale problems: Existence of a stationary solution

DOI10.1214/aop/1176990944zbMath0699.49018OpenAlexW2086412293MaRDI QIDQ913227

Richard H. Stockbridge

Publication date: 1990

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990944

zbMATH Keywords

martingale problemaverage coststationary distributionscontrolled systemsstationary control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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