Borkar, V. S. (1999) The value function in ergodic control of diffusion processes with partial observations Stochastics and Stochastic Reports, 67 (3-4). pp. 255-266. ISSN 1045-1129
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Official URL: http://www.tandfonline.com/doi/abs/10.1080/1744250...
Related URL: http://dx.doi.org/10.1080/17442509908834213
Abstract
The value function for ergodic control of a class of partially observed diffusions is shown to exist as the 'vanishing discount'limit of the value function for the discounted problem. A verification theorem giving sufficient conditions for optimality is derived in the framework of the 'martingale formulation'.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Ergodic Control; Controlled Diffusion Processes; Value Function; Partial Observations; Vanishing Discount Limit; Ams Math; Subject Classifications; Primary: 93E20; Secondary: 60H99 |
| ID Code: | 81447 |
| Deposited On: | 06 Feb 2012 05:02 |
| Last Modified: | 06 Feb 2012 05:02 |
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