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Ergodic control of degenerate diffusions
Authors:
Gopal K. Basak -
a;
Vevek S. Borkar -
b;
Mrinal K. Ghosh b
| Affiliations: | a Dept.of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong |
| b Dept. of Electrical Engineering, Indian Institute of Science, Bangalore, India |
DOI:
10.1080/07362999708809460
Publication Frequency:
6 issues per year
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(English)
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Abstract
We study the ergodic control problem of degenerate diffusions on RdUnder a certain Liapunov type stability condition we establish the existence of an optimal control. We then study the correponding HJB equation and establish the existence of a unique viscosity solution in a certain class
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