A note on controlled diffusions with long finite horizon

DOI10.1016/0167-6911(91)90059-NzbMath0728.93067OpenAlexW2043835793MaRDI QIDQ805584

Mrinal K. Ghosh, Steven I. Marcus

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0167-6911(91)90059-n

zbMATH Keywords

HJB equationstable Markov controlControlled diffusion processesLyapunov stability condition

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Markov processes (60J99)

Cites Work

• Unnamed Item
• Ergodic control of multidimensional diffusions. II: Adaptive control
• On optimality criteria for dynamic programs with long finite horizons
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• The value function in ergodic control of diffusion processes with partial observations
• Rates of Weak Convergence for the Multidimensional Central Limit Theorem

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