Long Term Average Control of a Local Time Process

Marta S. Mendiondo and Richard H. Stockbridge

Chapter Chapter 27 in Markov Processes and Controlled Markov Chains, 2002, pp 425-441 from Springer

Abstract: Abstract This paper provides a tractable numerical method for long-term average stochastic control problems in which the cost includes a term based on the local time process of a diffusion. The control problem is reformulated as a linear program over the set of invariant distributions for the process. In particular, the long-term average local time cost is expressed in terms of the invariant distribution. Markov chain approximations are used to reduce the infinite-dimensional linear programs to finite-dimensional linear programs and conditions for the convergence of the optimal values are given.

Keywords: Linear programming; stochastic control; numerical approximation; longterm average criterion; local time process (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_27

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DOI: 10.1007/978-1-4613-0265-0_27

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