Basak, Gopal K. ; Borkar, Vivek S. ; Ghosh, Mrinal K. (1997) Ergodic control of degenerate diffusions Stochastic Analysis and Applications, 15 (1). pp. 1-17. ISSN 0736-2994
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1080/07362999708809460
Abstract
We study the ergodic control problem of degenerate diffusions on Rd Under a certain Liapunov type stability condition we establish the existence of an optimal control. We then study the correponding HJB equation and establish the existence of a unique viscosity solution in a certain class.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Ltd. |
| ID Code: | 11942 |
| Deposited On: | 13 Nov 2010 13:31 |
| Last Modified: | 20 May 2011 09:29 |
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