Basak, Gopal K. ; Bisi , Arinab ; Ghosh, Mrinal K. (1997) Controlled random degenerate diffusions under long-run average cost Stochastics An International Journal of Probability and Stochastic Processes, 61 (1-2). pp. 121-140. ISSN 1744-2508
Full text not available from this repository.
Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1080/17442509708834119
Abstract
We study the ergodic control problem of degenerate random diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems etc. Under a certain Liapunov type stability condition we establish the existence of an optimal control. We then study the corresponding HJB equation and establish the existence of a unique viscosity solution in a certain class. A characterization of the optimal control in terms of the unique viscosity solution is obtained.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Ltd. |
| Keywords: | Random Diffusions; Markov Chain; Optimal Control; HJB Equation; Viscosity Solution; AMS(MOS) |
| ID Code: | 11961 |
| Deposited On: | 10 Nov 2010 06:43 |
| Last Modified: | 02 Jun 2011 07:46 |
Repository Staff Only: item control page
