Ergodic control problem for one-dimensional diffusions with near-monotone cost

A. Bensoussan; V. Borkar

doi:10.1016/0167-6911(84)90021-5

Ergodic control problem for one-dimensional diffusions with near-monotone cost

A. Bensoussan
, V. Borkar

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

5 Citations (Scopus)

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. © 1984.

Original language	English
Pages (from-to)	127-133
Journal	Systems and Control Letters
Volume	5
Issue number	2
DOIs	https://doi.org/10.1016/0167-6911(84)90021-5
Publication status	Published - Nov 1984
Externally published	Yes

Research Keywords

Bellman equation
Dynamic programming
Ergodic control
Near-monotone cost
Stable optimal Markov controls

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10.1016/0167-6911(84)90021-5

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title = "Ergodic control problem for one-dimensional diffusions with near-monotone cost",

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. {\textcopyright} 1984.",

keywords = "Bellman equation, Dynamic programming, Ergodic control, Near-monotone cost, Stable optimal Markov controls",

author = "A. Bensoussan and V. Borkar",

year = "1984",

month = nov,

doi = "10.1016/0167-6911(84)90021-5",

language = "English",

volume = "5",

pages = "127--133",

journal = "Systems and Control Letters",

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publisher = "Elsevier B.V.",

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TY - JOUR

T1 - Ergodic control problem for one-dimensional diffusions with near-monotone cost

AU - Bensoussan, A.

AU - Borkar, V.

PY - 1984/11

Y1 - 1984/11

N2 - 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. © 1984.

AB - 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. © 1984.

KW - Bellman equation

KW - Dynamic programming

KW - Ergodic control

KW - Near-monotone cost

KW - Stable optimal Markov controls

UR - https://www.scopus.com/pages/publications/0021518446

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0021518446&origin=recordpage

U2 - 10.1016/0167-6911(84)90021-5

DO - 10.1016/0167-6911(84)90021-5

M3 - RGC 21 - Publication in refereed journal

SN - 0167-6911

VL - 5

SP - 127

EP - 133

JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 2

ER -

Ergodic control problem for one-dimensional diffusions with near-monotone cost

Abstract

Research Keywords

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