A note on controlled diffusions with long finite horizon

Ghosh, Mrinal K. ; Marcus, Steven I. (1991) A note on controlled diffusions with long finite horizon Systems & Control Letters, 16 (5). pp. 379-385. ISSN 0167-6911

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Official URL: http://dx.doi.org/10.1016/0167-6911(91)90059-N

Related URL: http://dx.doi.org/10.1016/0167-6911(91)90059-N

Abstract

Controlled diffusion process on R d are considered. Under a certain penalizing condition on the cost for unstable behavior or under a Liapunov stability condition, we stablish the existence of a stable Markov control which is strong average optimal.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Controlled Diffusions; Strong Average Optimality; Markov Control; Invariant Measure; HJB Equation
ID Code:11848
Deposited On:13 Nov 2010 13:48
Last Modified:02 Jun 2011 08:26

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