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This paper discusses an eigenvalue problem for a singular ergodic control. The eigenvalue has a probabilistic interpretation which can be regarded as the least, long-time averaged (ergodic) cost for a… Click to show full abstract
This paper discusses an eigenvalue problem for a singular ergodic control. The eigenvalue has a probabilistic interpretation which can be regarded as the least, long-time averaged (ergodic) cost for a singular control problem. The existence and uniqueness of positive radial solutions of an equation with constraints involving gradient which is related to a stochastic optimal control problem under certain conditions on the nonlinearity of the equation are examined.
Keywords:
control;
singular ergodic;
solutions problem;
ergodic control;
problem;
problem singular
Journal Title: Journal of Optimization Theory and Applications
Year Published: 2017
Link to full text (if available)
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Journal Title: Journal of Optimization Theory and Applications
Year Published: 2017
Link to full text (if available)
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recommendations!