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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