An Auxiliary Equation for the Bellman Equation in a One-Dimensional Ergodic Control

An Auxiliary Equation for the Bellman Equation in a One-Dimensional Ergodic Control In this paper we consider the Bellman equation in a one-dimensional ergodic control. Our aim is to show the existence and the uniqueness of its solution under general assumptions. For this purpose we introduce an auxiliary equation whose solution gives the invariant measure of the diffusion corresponding to an optimal control. Using this solution, we construct a solution to the Bellman equation. Our method of using this auxiliary equation has two advantages in the one-dimensional case. First, we can solve the Bellman equation under general assumptions. Second, this auxiliary equation gives an optimal Markov control explicitly in many examples. \keywords{Bellman equation, Auxiliary equation, Ergodic control.} Applied Mathematics and Optimization Springer Journals

An Auxiliary Equation for the Bellman Equation in a One-Dimensional Ergodic Control

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Copyright © Inc. by 2000 Springer-Verlag New York
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
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