Ergodic control problem for one-dimensional diffusions with near-monotone cost |
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Authors: | A Bensoussan V Borkar |
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Affiliation: | University of Paris -Dauphine and INRIA, France;Tata Institute of Fundamental Research, Bangalore, India |
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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. |
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Keywords: | Ergodic control Near-monotone cost Dynamic programming Bellman equation Stable optimal Markov controls |
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