Ergodic control of degenerate diffusions

Stochastic Analysis and Applications

Volumn 15, Issue 1, 1997, Pages 1-17

  Basak, Gopal K ^a   Borkar, Vivek S ^b   Ghosh, Mrinal K ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b INDIAN INSTITUTE OF SCIENCE   (India)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031483366     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362999708809460     Document Type: Article

References (10)

1. G.K. Basak, A class of limit theorems for singular diffusions, J. Multivariate Analysis 39 (1991), 44-59.
2. G.K. Basak and R.N. Bhattacharya, Stability in distribution for a class of singular diffusions, Annals of Probability 20 (1992), 312-321.
3. A.G. Bhatt and V.S. Borkar, Occupation measures for controlled Markov processes : Characterization and optimality, Preprint.
4. V.S. Borkar, Optimal control of diffusion processes, Pitman Research notes in Maths No. 203, Longman Scientific and Technical, Harlow, 1989
5. V.S. Borkar, On extremal solutions to stochastic control problem, Appl. Math. Optim. 24 (1991), 317-330.
6. V.S. Borkar, A note on ergodic control of degenerate diffusions, Preprint.
7. W.H. Fleming and H.M. Soner, Controlled Markov processes and viscosity solutions, Springer-Verlag, New York, 1991.
8. P.L. Lions, Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part II: viscosity solutions and uniqueness. Communications on P.D.E. 8(1993), 1229-76.
9. R.H. Stockbridge, Time-average control of a martingale problem. Existence of a stationary solution, Annals of Probability 18 (1990), 190-205.
10. R.H. Stockbridge, Time-average control of a martingale problems : a linear programming formulation, Annals of Probability 18 (1990), 206-217.