Ergodic control problem for one-dimensional diffusions with near-monotone cost

DOI10.1016/0167-6911(84)90021-5zbMath0558.93046OpenAlexW2047475686MaRDI QIDQ802504

Alain Bensoussan, Vivek S. Borkar

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(84)90021-5

zbMATH Keywords

ergodic controlone-dimensional diffusionsBellman's equationnear- monotonicitystable Markov control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by partial differential equations (93C20) Dynamic programming (90C39) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Limit theorems in probability theory (60F99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

Corrections to ``Ergodic control problem for one-dimensional diffusions with near-monotone cost ⋮ Optimal control of a one-dimensional storage process

Cites Work

• Long-term average cost control problems for continuous time Markov processes: A survey
• A note on controlled diffusions on line with time-averaged cost
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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