Ergodic control problem for one-dimensional diffusions with near-monotone cost (Q802504)
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scientific article; zbMATH DE number 3891208
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ergodic control problem for one-dimensional diffusions with near-monotone cost |
scientific article; zbMATH DE number 3891208 |
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Ergodic control problem for one-dimensional diffusions with near-monotone cost (English)
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1984
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This paper deals with the ergodic control of one-dimensional diffusions, governed by controlled stochastic differential equations. From the dynamic programming point of view, the authors derive Bellman's equation of ergodic control. Assuming a near-monotonicity on the cost function and mild conditions on coefficients, they establish the existence and uniqueness of a solution of Bellman's equation and give necessary and sufficient conditions for optimality of a stable Markov control in terms of the equation.
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ergodic control
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one-dimensional diffusions
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Bellman's equation
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near- monotonicity
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stable Markov control
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