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Mathematics > Probability

arXiv:1812.10665 (math)
[Submitted on 27 Dec 2018 (v1), last revised 10 Aug 2020 (this version, v5)]

Title:Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions

Authors:Svetlana Anulova, Hilmar Mai, Alexander Veretennikov
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Abstract:The paper is a full version of the short presentation in \cite{amv17}. Ergodic control for one-dimensional controlled diffusion is tackled; both drift and diffusion coefficients may depend on a strategy which is assumed markovian. Ergodic HJB equation is established and existence and uniqueness of its solution is proved, as well as the convergence of the reward improvement algorithm.
Comments: 28 pages, 32 references
Subjects: Probability (math.PR)
MSC classes: 93E20, 60J60
Cite as: arXiv:1812.10665 [math.PR]
  (or arXiv:1812.10665v5 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1812.10665
Journal reference: On Iteration Improvement for Averaged Expected Cost Control for One-Dimensional Ergodic Diffusions, SIAM Journal on Control and Optimization. 2020. Vol. 58. No. 4. P. 2312-2331
Related DOI: https://doi.org/10.1137/19M1271944

Submission history

From: Alexander Veretennikov [view email]
[v1] Thu, 27 Dec 2018 09:00:27 UTC (17 KB)
[v2] Sat, 9 Feb 2019 22:24:29 UTC (20 KB)
[v3] Mon, 11 Mar 2019 16:13:18 UTC (21 KB)
[v4] Sat, 6 Apr 2019 19:55:44 UTC (21 KB)
[v5] Mon, 10 Aug 2020 15:18:40 UTC (20 KB)
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