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Ergodic Control of Multidimensional Diffusions I: The Existence Results

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References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
1974A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT430 cited
1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
1982Stochastic Control by Functional Analysis Methods204 cited
1970Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems164 cited
1978Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model88 cited
1983Long-term average cost control problems for continuous time Markov processes: A survey73 cited
1975Existence results for optimal stochastic controls59 cited
1983Controlled Markov Chains and Stochastic Networks46 cited

Cited by

1990Controlled diffusions with constraints35 cited
1992Singular ergodic control for multidimensional Gaussian processes28 cited
1993Limit theorems for pathwise average cost per unit time problems for controlled queues in heavy traffic26 cited

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