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

Bensoussan, Alain; Borkar, Vivek (1984), Ergodic control problem for one-dimensional diffusions with near-monotone cost, Systems & Control Letters, 5, 2, p. 127-133. http://dx.doi.org/10.1016/0167-6911(84)90021-5

Type
Article accepté pour publication ou publié
Date
1984
Journal name
Systems & Control Letters
Volume
5
Number
2
Publisher
Elsevier
Pages
127-133
Publication identifier
Metadata
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Author(s)
Bensoussan, Alain
Borkar, Vivek
Abstract (EN)
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.
Subjects / Keywords
Ergodic control; Near-monotone cost; Dynamic programming; Bellman equation; Stable optimal Markov controls