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Optimal control on graphs: existence, uniqueness, and long-term behavior

Olivier Guéant () and Iuliia Manziuk
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Olivier Guéant: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Iuliia Manziuk: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.

Keywords: Optimal control; graphs; asymptotic analysis; Ergodic Hamilton-Jacobi equation (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ore
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Published in ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2020, 26, pp.a22. ⟨10.1051/cocv/2019071⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-03252606

DOI: 10.1051/cocv/2019071

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