Existence of optimal Markov solutions for ergodic control of Markov processes

Sankhya: The Indian Journal of Statistics

Volumn 67, Issue 1, 2005, Pages 1-18

  Bhatt, Abhay G ^a   Borkar, Vivek S ^b  

^a INDIAN STATISTICAL INSTITUTE   (India)

^b TATA INSTITUTE OF FUNDAMENTAL RESEARCH   (India)

Author keywords

Controlled Markov processes; Ergodic control; Markov selection; Optimal control

Indexed keywords

EID: 31344434797     PISSN: 09727671     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (5)

1. BHATT, A.G. and BORKAR, V.S. (1996). Occupation measures for controlled Markov processes: characterization and optimality, Ann. Probab., 24, 1531-1562.
2. BORKAR, V.S. (1989). Optimal Control of Diffusion Processes, Pitman Research Notes in Mathematics No. 203, Longman Scientific and Technical, Harlow, UK.
3. EL KAROUI, N., NGUYEN, D.H. and JEANBLANC-PIQUE, M. (1987). Compactification methods in the control of degenerate diffusions: existence of an optimal control, Stochatics, 20, 169-219.
4. HAUSSMANN, U.G. (1986). Existence of optimal Markovian controls for degenerate diffusions, in Stochastic Differential Systems, N. Christopeit, K. Helmes, M. Kohlmann, eds., Lecture Notes in Control and Information Sciences No. 78, Springer Verlag, 171-186.
5. STROOCK, D.W. and VARADHAN, S.R.S. (1979). Multidimensional Diffusion Processes, Springer Verlag.