The value function in ergodic control of diffusion processes with partial observations

DOI10.1080/17442509908834213zbMath0947.93038OpenAlexW2044935060MaRDI QIDQ4719387

Vivek S. Borkar

Publication date: 13 November 2000

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834213

zbMATH Keywords

ergodic controlvalue functionpartially observed diffusionsvanishing discount limit

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

Related Items

Optimal control of semilinear stochastic evolution equations ⋮ On a controlled eigenvalue problem ⋮ An eigenvalue approach to the risk sensitive control problem in near monotone case ⋮ Controlled diffusions with constraints ⋮ Stochastic approximation with `controlled Markov' noise ⋮ Sequential entry and exit decisions with an ergodic performance criterion ⋮ Dynamic programming for ergodic control with partial observations. ⋮ A note on controlled diffusions with long finite horizon

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