Ergodic Control of Partially Degenerate Diffusions in a Compact Domain

2003 ◽  
Vol 75 (4) ◽  
pp. 221-231 ◽  
Author(s):  
Vivek S. Borkar ◽  
Mrinal K. Ghosh‡
Keyword(s):  
Compact Domain ◽  
Ergodic Control ◽  
Degenerate Diffusions

scholarly journals Ergodic control of degenerate diffusions

1997 ◽  
Vol 15 (1) ◽  
pp. 1-17 ◽  
Author(s):  
Gopal K. Basak ◽  
Vevek S. Borkar ◽  
Mrinal K. Ghosh
Keyword(s):  
Ergodic Control ◽  
Degenerate Diffusions

Ergodic Control of Diffusion Processes

2009 ◽  
Author(s):  
Ari Arapostathis ◽  
Vivek S. Borkar ◽  
Mrinal K. Ghosh
Keyword(s):  
Diffusion Processes ◽  
Ergodic Control

scholarly journals Ergodic control of diffusions with random intervention times

2021 ◽  
Vol 58 (1) ◽  
pp. 1-21
Author(s):  
Harto Saarinen ◽  
Jukka Lempa
Keyword(s):  
Optimal Solution ◽  
Singular Control ◽  
Control Policy ◽  
Control Problems ◽  
Ergodic Control ◽  
Linear Diffusion ◽  
One Dimensional ◽  
And Diffusion ◽  
Independent Poisson Process ◽  
Exact Amount

AbstractWe study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.

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