We consider an optimal stochastic control problem for which the payoff is the average of a given cost function. In a non ergodic setting, but under a suitable nonexpansivity condition, we obtain the existence of the limit value when the averaging parameter converges (namely the discount factor tends to zero for Abel mean or the horizon tends to infinity for the Cesàro mean). The main novelty of our result lies on the fact that this limit may depend on initial conditions of the control system (in contrast to what is usually obtained by other approaches). We also prove that the limit does not depend of the chosen average (Abel or Cesàro mean).
Applied Mathematics and Optimization – Springer Journals
Published: Aug 1, 2014
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera