Bensoussan, A. ; Borkar, V. (1984) Ergodic control problem for one-dimensional diffusions with near-monotone cost Systems & Control Letters, 5 (2). pp. 127-133. ISSN 0167-6911
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Official URL: http://www.sciencedirect.com/science/article/pii/0...
Related URL: http://dx.doi.org/10.1016/0167-6911(84)90021-5
Abstract
The existence and uniqueness of the solution to the Bellman equation for ergodic control of one-dimensional diffusions is established under a 'near-monotonicity' condition on the cost. Necessary and sufficient conditions for the optimality of a stable Markov control are given in terms of the same.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Ergodic Control; Near-Monotone Cost; Dynamic Programming; Bellman Equation; Stable Optimal Markov Controls |
| ID Code: | 81418 |
| Deposited On: | 06 Feb 2012 04:30 |
| Last Modified: | 06 Feb 2012 04:30 |
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