SINGULAR PERTURBATIONS IN STOCHASTIC ERGODIC CONTROL PROBLEMS
DSpace at IIT Bombay
View Archive InfoField | Value | |
Title |
SINGULAR PERTURBATIONS IN STOCHASTIC ERGODIC CONTROL PROBLEMS
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Creator |
KUMAR, KS
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Subject |
stochastic ergodic control
two time scales singular perturbations associated ergodic control singularly perturbed ergodic HJB equation PARTIAL-DIFFERENTIAL EQUATIONS VISCOSITY SOLUTIONS CONVERGENCE DIFFUSIONS |
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Description |
In this article we give a new method for studying the singular perturbations in stochastic ergodic control problems. Our method enable us to prove the convergence of the solution pair of the singularly perturbed ergodic HJB equation to the solution pair of the limiting ergodic HJB equation. In particular, the convergence of the ergodic value of the singularly perturbed ergodic control problem to that of the limiting ergodic control problem under more general conditions.
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Publisher |
SIAM PUBLICATIONS
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Date |
2014-10-16T05:47:37Z
2014-10-16T05:47:37Z 2012 |
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Type |
Article
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Identifier |
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 50(6)3203-3223
http://dx.doi.org/10.1137/100782668 http://dspace.library.iitb.ac.in/jspui/handle/100/15375 |
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Language |
en
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