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Ergodic control problem for one-dimensional diffusions with near-monotone cost
Authors:A Bensoussan  V Borkar
Affiliation:University of Paris -Dauphine and INRIA, France;Tata Institute of Fundamental Research, Bangalore, India
Abstract:The existence and uniqueness of the solution to the Bellman equation for ergodic control of one-dimensional diffusions is established under a ‘near-monotonicity’ condition on the cost. Necessary and sufficient conditions for the optimality of a stable Markov control are given in terms of the same.
Keywords:Ergodic control  Near-monotone cost  Dynamic programming  Bellman equation  Stable optimal Markov controls
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