Uniform recurrence properties of controlled diffusions and applications to optimal control

DOI10.1137/090762464MaRDI QIDQ3083218zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Vivek Borkar, Ari Arapostathis

Publication date 21 March 2011

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/c5e1a80140f0cb963ac40472a5faf4aafcebdda6

zbMATH Keywords

controlled diffusionsMarkov processesoptimal controluniform stability

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Markov and semi-Markov decision processes (90C40) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

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• Constrained stochastic differential games with additive structure: average and discount payoffs
• Nonzero-sum stochastic differential games with additive structure and average payoffs
• Discount-sensitive equilibria in zero-sum stochastic differential games
• Uniform stability of controlled Markov processes
• Zero-sum risk-sensitive stochastic differential games
• scientific article; zbMATH DE number 7232789 (Why is no real title available?)
• A remark on the attainable distributions of controlled diffusions
• scientific article; zbMATH DE number 4032732 (Why is no real title available?)
• Bias and overtaking equilibria for zero-sum stochastic differential games
• H_ constraint Pareto optimal strategy for stochastic LPV systems
• Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
• The Lagrange approach to ergodic control of diffusions with cost constraints
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion
• Optimal ergodic control of Markov diffusion processes with minimum variance
• The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints
• Domain recurrence and probabilistic analysis of residence time of stochastic systems and domain aiming control
• Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria
• On Borkar and Young relaxed control topologies and continuous dependence of invariant measures on control policy

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