Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions
Probability
2020-09-01 v5
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.
Cite
@article{arxiv.1812.10665,
title = {Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions},
author = {Svetlana Anulova and Hilmar Mai and Alexander Veretennikov},
journal= {arXiv preprint arXiv:1812.10665},
year = {2020}
}
Comments
28 pages, 32 references