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

DOI10.1214/AOP/1176990944MaRDI QIDQ913227zbMATH OpenOpenAlexFDO

Authors 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 problemstationary distributionsaverage costcontrolled systemsstationary control

Mathematics Subject Classification ID

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

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