Borkar, Vivek S. ; Ghosh, Mrinal K. (1988) Ergodic control of multidimensional diffusions I: the existence results SIAM Journal on Control and Optimization, 26 (1). pp. 112-126. ISSN 0363-0129
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Official URL: http://link.aip.org/link/?SJCODC/26/112/1
Related URL: http://dx.doi.org/10.1137/0326007
Abstract
The existence of optimal stable Markov relaxed controls for the ergodic control of multidimensional diffusions is established by direct probabilistic methods based on a characterization of a.s. limit sets of empirical measures. The optimality of the above is established in the strong (i.e., almost sure) sense among all admissible controls under very general conditions.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| Keywords: | Ergodic Control; Markov Controls; Optimal Controls; Empirical Measures; Invariant Probability Measures |
| ID Code: | 5295 |
| Deposited On: | 18 Oct 2010 08:27 |
| Last Modified: | 16 May 2016 15:49 |
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