The value function in ergodic control of diffusion processes with partial observations

DOI10.1080/17442509908834213MaRDI QIDQ4719387zbMATH OpenOpenAlexFDO

Authors Vivek Borkar

Publication date 13 November 2000

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509908834213

zbMATH Keywords

value functionergodic controlpartially observed diffusionsvanishing discount limit

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 49698 (Why is no real title available?)
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• Ergodic Boundary/Point Control of Stochastic Semilinear Systems
• Ergodic control of degenerate diffusions
• Martingale conditions for the optimal control of continuous time stochastic systems
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• Optimal Control for Partially Observed Diffusions
• Optimal Infinite-Horizon Undiscounted Control of Finite Probabilistic Systems
• Remarks on the existence of solutions to the average cost optimality equation in Markov decision processes
• Stability in distribution for a class of singular diffusions

Cited in

(10)

• Optimal control of semilinear stochastic evolution equations
• Ergodicity of filtering process by vanishing discount approach
• An eigenvalue approach to the risk sensitive control problem in near monotone case
• Sequential entry and exit decisions with an ergodic performance criterion
• On a controlled eigenvalue problem
• Stochastic approximation with `controlled Markov' noise
• The value function in ergodic control of diffusion processes with partial observations II
• Controlled diffusions with constraints
• Dynamic programming for ergodic control with partial observations.
• A note on controlled diffusions with long finite horizon

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