Articlebronze1990

Time-Average Control of Martingale Problems: Existence of a Stationary Solution

58 citations0/0 files storedThe Annals of Probability

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Adaptive Dynamic Programming Control

Abstract

This paper studies the average cost for controlled systems via the martingale problem for their generator. The stationary distributions for these processes on the product of the state and control spaces are characterized in terms of integration of the generator and existence of a stationary solution is established. This gives existence of a stationary control.

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1990Time-Average Control of Martingale Problems: A Linear Programming Formulation 2013Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems 2010Stochastic Optimal Control and Linear Programming Approach 1997Ergodic control of degenerate diffusions 1991Steady-state analysis of reflected Brownian motions: characterization, numerical methods and queueing applications

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