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SINGULAR PERTURBATIONS IN STOCHASTIC ERGODIC CONTROL PROBLEMS

DSpace at IIT Bombay

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Title SINGULAR PERTURBATIONS IN STOCHASTIC ERGODIC CONTROL PROBLEMS
 
Creator KUMAR, KS
 
Subject stochastic ergodic control
two time scales
singular perturbations
associated ergodic control
singularly perturbed ergodic HJB equation
PARTIAL-DIFFERENTIAL EQUATIONS
VISCOSITY SOLUTIONS
CONVERGENCE
DIFFUSIONS
 
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.
 
Publisher SIAM PUBLICATIONS
 
Date 2014-10-16T05:47:37Z
2014-10-16T05:47:37Z
2012
 
Type Article
 
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
 
Language en