Borkar, VS and Ghosh, Mrinal K (2003) Ergodic Control of Partially Degenerate Diffusions in a Compact Domain. In: Stochastics An International Journal of Probability and Stochastic Processes, 75 (4). pp. 221-231.
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The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the condition of partial degeneracy, i.e. when its transition kernel after some time is absolutely continuous with respect to the Lebesgue measure on a part of the state space. Existence of a value function and a "martingale dynamic programming principle" are established by mapping the problem to a discrete time control problem. Implications for existence of optimal controls are derived.
| Item Type: | Journal Article |
|---|---|
| Publication: | Stochastics An International Journal of Probability and Stochastic Processes |
| Publisher: | Taylor & Francis |
| Additional Information: | Copyright of this article belongs to Taylor & Francis. |
| Keywords: | Controlled diffusion;Ergodic control;Dynamic programming principle;Optimal controls |
| Department/Centre: | Division of Physical & Mathematical Sciences > Mathematics |
| Date Deposited: | 04 Feb 2008 |
| Last Modified: | 27 Feb 2019 10:20 |
| URI: | http://eprints.iisc.ac.in/id/eprint/12964 |
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