Controlled Diffusions with Constraints, II

Borkar, VS (1993) Controlled Diffusions with Constraints, II. In: Journal of Mathematical Analysis and Applications, 176 (2). pp. 310-321.

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Abstract

We consider the ergodic control for a controlled nondegenerate diffusion when m other (m finite) ergodic costs are required to satisfy prescribed bounds. Under a condition on the cost functions that penalizes instability, the existence of an optimal stable Markov control is established by convex analytic arguments.

Item Type:	Journal Article
Publication:	Journal of Mathematical Analysis and Applications
Publisher:	Elsevier Science
Additional Information:	Copyright of this article belongs to Elsevier Science.
Department/Centre:	Division of Electrical Sciences > Electrical Engineering
Date Deposited:	10 Feb 2011 09:11
Last Modified:	27 Feb 2019 10:27
URI:	http://eprints.iisc.ac.in/id/eprint/35380

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