On the Solutions of the Problem for a Singular Ergodic Control

Yen Lin Wu; Zhi You Chen

doi:10.1007/s10957-017-1099-y

On the Solutions of the Problem for a Singular Ergodic Control

Yen Lin Wu, Zhi You Chen

Department of Mathematics

Research output: Contribution to journal › Article

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.

Original language	English
Pages (from-to)	746-762
Number of pages	17
Journal	Journal of Optimization Theory and Applications
Volume	173
Issue number	3
DOIs	https://doi.org/10.1007/s10957-017-1099-y
Publication status	Published - 2017 Jun 1

All Science Journal Classification (ASJC) codes

Control and Optimization
Management Science and Operations Research
Applied Mathematics

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Wu, Y. L., & Chen, Z. Y. (2017). On the Solutions of the Problem for a Singular Ergodic Control. Journal of Optimization Theory and Applications, 173(3), 746-762. https://doi.org/10.1007/s10957-017-1099-y

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