On the Solutions of the Problem for a Singular Ergodic Control

Yen Lin Wu, Zhi You Chen

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)746-762
Number of pages17
JournalJournal of Optimization Theory and Applications
Volume173
Issue number3
DOIs
Publication statusPublished - 2017 Jun 1

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Ergodic Control
Singular Control
Positive Radial Solutions
Stochastic Optimal Control
Singular Problems
Eigenvalue Problem
Optimal Control Problem
Control Problem
Existence and Uniqueness
Nonlinearity
Gradient
Eigenvalue
Costs
Eigenvalues

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 journalArticle

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