Singular Perturbations in Ergodic Control of Diffusions

2007 ◽  
Vol 46 (5) ◽  
pp. 1562-1577 ◽  
Author(s):  
Vivek S. Borkar ◽  
Vladimir Gaitsgory
Keyword(s):  
Singular Perturbations ◽  
Ergodic Control

Ergodic Control of Diffusion Processes

2009 ◽  
Author(s):  
Ari Arapostathis ◽  
Vivek S. Borkar ◽  
Mrinal K. Ghosh
Keyword(s):  
Diffusion Processes ◽  
Ergodic Control

scholarly journals Ergodic control of diffusions with random intervention times

2021 ◽  
Vol 58 (1) ◽  
pp. 1-21
Author(s):  
Harto Saarinen ◽  
Jukka Lempa
Keyword(s):  
Optimal Solution ◽  
Singular Control ◽  
Control Policy ◽  
Control Problems ◽  
Ergodic Control ◽  
Linear Diffusion ◽  
One Dimensional ◽  
And Diffusion ◽  
Independent Poisson Process ◽  
Exact Amount

AbstractWe study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.

scholarly journals Singular Perturbations of Self-Adjoint Operators

2003 ◽  
Vol 6 (4) ◽  
pp. 349-384 ◽  
Author(s):  
Vladimir Derkach ◽  
Seppo Hassi ◽  
Henk de Snoo
Keyword(s):  
Singular Perturbations ◽  
Adjoint Operators
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