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arXiv · 1812.10665

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

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.

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Svetlana Anulova, Hilmar Mai, Alexander Veretennikov. 2018-12-27. Yet again on iteration improvement for averaged expected cost control for 1D ergodic diffusions. https://doi.org/10.1137/19m1271944

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