Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations

DOI10.1137/S0363012902417619zbMath1101.93082OpenAlexW2041992413MaRDI QIDQ4652590

Vivek S. Borkar, Amarjit Budhiraja

Publication date: 28 February 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012902417619

zbMATH Keywords

ergodic controlHJB equationcouplingoptimal Markov controlviscosity solutionsdomains with cornersconstrained processescontrolled reflected diffusionsoblique Neumann problempseudoatom

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic integral equations (60H20)

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