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 |
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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 |
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics