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On the Solutions of the Problem for a Singular Ergodic Control.
- Source :
-
Journal of Optimization Theory & Applications . Jun2017, Vol. 173 Issue 3, p746-762. 17p. - Publication Year :
- 2017
-
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 and uniqueness of positive radial solutions of an equation with constraints involving gradient which is related to a stochastic optimal control problem under certain conditions on the nonlinearity of the equation are examined. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00223239
- Volume :
- 173
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Journal of Optimization Theory & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 123191347
- Full Text :
- https://doi.org/10.1007/s10957-017-1099-y