On the Solutions of the Problem for a Singular Ergodic Control
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-017-1099-y
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… read more here.
Keywords: control; singular ergodic; solutions problem; ergodic control ... See more keywords
Quasistationary distributions and ergodic control problems
Sign Up to like & getrecommendations! Published in 2021 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2021.12.004
Abstract: We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process X relative to a bounded domain. The two problems are in some… read more here.
Keywords: quasistationary distributions; distributions ergodic; ergodic control; control problems ... See more keywords