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

A. Bensoussan; V. Borkar

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

Author(s)

A. Bensoussan
V. Borkar

Detail(s)

Original language	English
Pages (from-to)	127-133
Journal / Publication	Systems and Control Letters
Volume	5
Issue number	2
Publication status	Published - Nov 1984
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1016/0167-6911(84)90021-5 Final Published version
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Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0021518446&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(d137b39c-6345-4794-9c91-91d70b012b0d).html

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.

Research Area(s)

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

Citation Format(s)

[ RIS ] [ BibTeX ]

Ergodic control problem for one-dimensional diffusions with near-monotone cost. / Bensoussan, A.; Borkar, V.
In: Systems and Control Letters, Vol. 5, No. 2, 11.1984, p. 127-133.

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

Bensoussan, A & Borkar, V 1984, 'Ergodic control problem for one-dimensional diffusions with near-monotone cost', Systems and Control Letters, vol. 5, no. 2, pp. 127-133. https://doi.org/10.1016/0167-6911(84)90021-5

Bensoussan, A., & Borkar, V. (1984). Ergodic control problem for one-dimensional diffusions with near-monotone cost. Systems and Control Letters, 5(2), 127-133. https://doi.org/10.1016/0167-6911(84)90021-5

Bensoussan A, Borkar V. Ergodic control problem for one-dimensional diffusions with near-monotone cost. Systems and Control Letters. 1984 Nov;5(2):127-133. doi: 10.1016/0167-6911(84)90021-5

Bensoussan, A. ; Borkar, V. / Ergodic control problem for one-dimensional diffusions with near-monotone cost. In: Systems and Control Letters. 1984 ; Vol. 5, No. 2. pp. 127-133.