scholarly journals A One-Dimensional Ratio Ergodic Control Problem

1999 ◽  
pp. 207-214
Author(s):  
Yasuhiro Fujita
Keyword(s):  
Control Problem ◽  
Ergodic Control ◽  
One Dimensional

Ergodic control problem for one-dimensional diffusions with near-monotone cost

1984 ◽  
Vol 5 (2) ◽  
pp. 127-133 ◽  
Author(s):  
A. Bensoussan ◽  
V. Borkar
Keyword(s):  
Control Problem ◽  
Ergodic Control ◽  
One Dimensional

scholarly journals Ergodic control of diffusions with random intervention times

2021 ◽  
Vol 58 (1) ◽  
pp. 1-21
Author(s):  
Harto Saarinen ◽  
Jukka Lempa
Keyword(s):  
Optimal Solution ◽  
Singular Control ◽  
Control Policy ◽  
Control Problems ◽  
Ergodic Control ◽  
Linear Diffusion ◽  
One Dimensional ◽  
And Diffusion ◽  
Independent Poisson Process ◽  
Exact Amount

AbstractWe study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at the jump times of an independent Poisson process. Under relatively weak assumptions, we characterize the optimal solution as an impulse-type control policy, where it is optimal to exert the exact amount of control needed to push the process to a unique threshold. Moreover, we discuss the connection of the present problem to ergodic singular control problems, and illustrate the results with different well-known cost and diffusion structures.

scholarly journals BSDEs with Logarithmic Growth Driven by Brownian Motion and Poisson Random Measure and Connection to Stochastic Control Problem

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Khalid Oufdil
Keyword(s):  
Optimal Control ◽  
Brownian Motion ◽  
Control Problem ◽  
Stochastic Optimal Control ◽  
Random Measure ◽  
Poisson Random Measure ◽  
One Dimensional ◽  
Stochastic Optimal Control Problem ◽  
Uniqueness Of The Solution ◽  
Logarithmic Growth

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable ( | z | ⁢ | ln ⁡ | z | | ) (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion and an independent Poisson random measure. In addition, we highlight the connection of such BSDEs with stochastic optimal control problem, where we show the existence of an optimal strategy for the control problem.

Approximation of a stochastic ergodic control problem

1989 ◽  
pp. 377-395 ◽  
Author(s):  
Fabien Campillo ◽  
François Le Gland ◽  
Etienne Pardoux
Keyword(s):  
Control Problem ◽  
Ergodic Control
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