On the Solutions of the Problem for a Singular Ergodic Control

被引：1

作者：

Wu, Yen-Lin ^{[1
]}

Chen, Zhi-You ^{[2
]}

机构：

[1] Natl Cent Univ, Dept Math, Taoyuan, Taiwan

[2] Natl Changhua Univ Educ, Dept Math, Changhua, Taiwan

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2017年 / 173卷 / 03期

关键词：

Ergodic control; Eigenvalue problem; Stochastic optimal control; TRANSACTION COSTS; REGULARITY;

D O I：

10.1007/s10957-017-1099-y

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：746 / 762

页数：17

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