A one-dimensional ratio ergodic control problem (Q2712225)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A one-dimensional ratio ergodic control problem |
scientific article |
Statements
23 April 2002
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optimal ergodic control problem
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Bellman equation
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A one-dimensional ratio ergodic control problem (English)
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The authors solve the optimal ergodic control problem of minimizing NEWLINE\[NEWLINEK(v)=\lim \inf_{T\to \infty}\left( \int^T_0f(x_t) dt/\int^T_0 g(x_t)dt\right)NEWLINE\]NEWLINE under NEWLINE\[NEWLINEdx_t=b(x_t,v(x_t)) dt+\sqrt {a(x_t)}dw_tNEWLINE\]NEWLINE by solving the corresponding Bellman equation. Proofs are largely omitted.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].
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