Ergodic control of diffusion processes

• Autores: V.S. Borkar
• Localización: Proceedings oh the International Congress of Mathematicians: Madrid, August 22-30,2006 : invited lectures / coord. por Marta Sanz Solé , Javier Soria de Diego , Juan Luis Varona Malumbres , Joan Verdera , Vol. 3, 2006, ISBN 978-3-03719-022-7, págs. 1299-1310
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • Results concerning existence and characterization of optimal controls for ergodic control of nondegenerate diffusion processes are described. Extensions to the general �controlled martingale problem� are indicated, which cover in particular degenerate diffusions and some infinite dimensional problems. In conclusion, some related problems and open issues are discussed.