ISSN:
1435-568X
Keywords:
Ergodic control
;
Singular control
;
Bounded variation control
;
Diffusion process
;
Dynamic programming
;
Reflected diffusion
Source:
Springer Online Journal Archives 1860-2000
Topics:
Electrical Engineering, Measurement and Control Technology
,
Mathematics
,
Technology
Notes:
Abstract A multidimensional Wiener process is controlled by an additive process of bounded variation. A convex nonnegative function measures the cost associated with the position of the state process, and the cost of controlling is proportional to the displacement induced. We minimize a limiting time-average expected (ergodic) criterion. Under reasonable assumptions, we prove that the optimal discounted cost converges to the optimal ergodic cost. Moreover, under some additional conditions there exists a convex Lipschitz continuous function solution to the corresponding Hamilton-Jacobi-Bellman equation which provides an optimal stationary feedback control.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01211978
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