23
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Ergodic Control of Partially Degenerate Diffusions in a Compact Domain

&
Pages 221-231 | Accepted 02 Oct 2002, Published online: 17 Oct 2011

References

  • Basak G.K. Borkar V.S. Ghosh M.K. 1997 Ergodic control of degenerate diffusions Stoch. Anal. Appl. 15 1 17
  • Bensoussan A. Lions J.L. 1982 Impulse Control and Quasi-Variational Inequalities Gauthier-Villars France
  • Bhatt A.G. Borkar V.S. 1996 Occupation measures for controlled Markov processes, characterization and optimality Ann. Probab. 24 1531 1562
  • Borkar V.S. 1989 Optimal Control of Diffusion Processes Pitman Research Notes in Maths. No. 203, Longman Harlow
  • Borkar V.S. 1995 A note on ergodic control of degenerate diffusions J. Optim. Theor. Appl. 86 251 261
  • Dupuis P. Ishii H. 1991 On Lipschitz continuity of the solution mapping to the Skorohod problem with applications Stochastics 35 31 62
  • Ghosh M.K. Ergodic and adaptive control of Markov processes Ph.D. Thesis, Indian Institute of Science Bangalore, India
  • Hernandez-Lerma O. 1989 Adaptive Markov Control Processes Springer-Verlag New York
  • Kurtz T.G. Stockbridge R.H. 1998 Existence of Markov controls and characterization of optimal Markov control SIAM J. Control Optim. 36 609 653
  • Lions P.L. Sznitman A.S. 1984 Stochastic differential equations with reflecting boundary conditions Comm. Pure Appl. Math. 37 511 537
  • Menaldi J.L. Robin M. 1997 Ergodic control of reflected diffusions with jumps Appl. Math. Optim. 35 117 137
  • Rishel R. 1970 Necessary and sufficient dynamic programming conditions for continuous time stochastic control problem SIAM J. Control 8 559 571
  • Stockbridge R.H. 1990 Time-average control of a martingale problem: existence of a stationary solution Ann. Probab. 18 190 225
  • Stockbridge R.H. 1990 Time-average control of a martingale problem: a linear programming formulation Ann. Probab. 18 206 217
  • Striebel C. 1984 Martingale methods for the optimal control of continuous time stochastic systems Stoch. Process. Appl. 18 324 347
  • Stroock D.W. Varadhan S.R.S. 1971 Diffusion processes with boundary conditions Comm. Pure Appl. Math. 24 147 225

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.