Basak, GK and Borkar, VS and Ghosh, MK (1997) Ergodic control of degenerate diffusions. In: Stochastic Analysis And Applications, 15 (1). pp. 1-17.
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Abstract
We study the ergodic control problem of degenerate diffusions on IR(d). Under a certain Liapunov type stability condition we establish the existence of an optimal control. We then study the correponding HJB equation and establish the existence of a unique viscosity solution in a certain class.
Item Type: | Journal Article |
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Publication: | Stochastic Analysis And Applications |
Publisher: | Taylor and Francis Group |
Additional Information: | Copyright of this article belongs to Taylor and Francis Group. |
Department/Centre: | Division of Electrical Sciences > Electrical Engineering |
Date Deposited: | 17 Jul 2009 07:44 |
Last Modified: | 19 Sep 2010 05:26 |
URI: | http://eprints.iisc.ac.in/id/eprint/18949 |
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