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 › peer-review

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

Access to Document

10.1007/s10957-017-1099-y

Fingerprint Dive into the research topics of 'On the Solutions of the Problem for a Singular Ergodic Control'. Together they form a unique fingerprint.

Cite this

@article{f7d65f0a9d954c8cb1293d979bcf3c66,

title = "On the Solutions of the Problem for a Singular Ergodic Control",

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.",

author = "Wu, {Yen Lin} and Chen, {Zhi You}",

year = "2017",

month = jun,

day = "1",

doi = "10.1007/s10957-017-1099-y",

language = "English",

volume = "173",

pages = "746--762",

journal = "Journal of Optimization Theory and Applications",

issn = "0022-3239",

publisher = "Springer New York",

number = "3",

}

TY - JOUR

T1 - On the Solutions of the Problem for a Singular Ergodic Control

AU - Wu, Yen Lin

AU - Chen, Zhi You

PY - 2017/6/1

Y1 - 2017/6/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85015702525&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85015702525&partnerID=8YFLogxK

U2 - 10.1007/s10957-017-1099-y

DO - 10.1007/s10957-017-1099-y

M3 - Article

AN - SCOPUS:85015702525

VL - 173

SP - 746

EP - 762

JO - Journal of Optimization Theory and Applications

JF - Journal of Optimization Theory and Applications

SN - 0022-3239

IS - 3

ER -