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Ergodic control of degenerate diffusions

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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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
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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