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

Bensoussan, Alain; Borkar, Vivek

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

Number

Publisher

Elsevier

Pages

127-133

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