On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs

Ari Arapostathis

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arXiv · 1309.6307

On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs

Ari Arapostathis

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Abstract

We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy iteration algorithm are also discussed.

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Ari Arapostathis. 2013-09-21. On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs. https://arxiv.org/abs/1309.6307

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