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Controlled Diffusions with Constraints, II

Borkar, Vivek S (1993) Controlled Diffusions with Constraints, II. In: Journal of Mathematical Analysis and Applications, 176 (2). pp. 310-321.

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Official URL: http://dx.doi.org/10.1006/jmaa.1993.1216

Abstract

We consider the ergodic control for a controlled nondegenerate diffusion when m other (m finite) ergodic costs are required to satisfy prescribed bounds. Under a condition on the cost functions that penalizes instability, the existence of an optimal stable Markov control is established by convex analytic arguments.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to Elsevier Science.
Department/Centre: Division of Electrical Sciences > Electrical Engineering
Date Deposited: 10 Feb 2011 09:11
Last Modified: 10 Feb 2011 09:11
URI: http://eprints.iisc.ernet.in/id/eprint/35380

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