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

Autor: Anulova, Svetlana, Mai, Hilmar, Veretennikov, Alexander

Publikováno v: 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

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 equatio

Externí odkaz: http://arxiv.org/abs/1812.10665

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