On the Solutions of the Problem for a Singular Ergodic Control

Yen-Lin Wu () and Zhi-You Chen ()
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Yen-Lin Wu: National Central University
Zhi-You Chen: National Changhua University of Education

Journal of Optimization Theory and Applications, 2017, vol. 173, issue 3, No 2, 746-762

Abstract: Abstract 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.

Keywords: Ergodic control; Eigenvalue problem; Stochastic optimal control; 35J60; 35A01; 35A02 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10957-017-1099-y

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