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arXiv · 1902.08926

Optimal control on graphs: existence, uniqueness, and long-term behavior

Olivier Guéant·Iuliia Manziuk
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Abstract

The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.

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Olivier Guéant, Iuliia Manziuk. 2019-02-24. Optimal control on graphs: existence, uniqueness, and long-term behavior. https://arxiv.org/abs/1902.08926

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