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
收藏
页码：746 / 762
页数：17
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