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 | |
| Publication status | Published - 2017 Jun 1 |
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All Science Journal Classification (ASJC) codes
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics
Cite this
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On the Solutions of the Problem for a Singular Ergodic Control. / Wu, Yen Lin; Chen, Zhi You.
In: Journal of Optimization Theory and Applications, Vol. 173, No. 3, 01.06.2017, p. 746-762.Research output: Contribution to journal › Article
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 -