The Ergodic Cost Problem

Numerical Methods for Controlled Stochastic Delay Systems ◽

10.1007/978-0-8176-4621-9_5 ◽

2008 ◽

pp. 97-124

Keyword(s):

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Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_12 ◽

1992 ◽

pp. 303-323

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Singular Control ◽

Reflecting Boundaries ◽

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A relative value iteration for controlled diffusions under ergodic cost

2012 IEEE 51st IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2012.6426016 ◽

2012 ◽

Author(s):

Ari Arapostathis ◽

Vivek S. Borkar

Keyword(s):

Value Iteration ◽

Relative Value ◽

Controlled Diffusions ◽

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On solutions of mean field games with ergodic cost

Journal de Mathématiques Pures et Appliquées ◽

10.1016/j.matpur.2016.06.004 ◽

2017 ◽

Vol 107 (2) ◽

pp. 205-251 ◽

Author(s):

Ari Arapostathis ◽

Anup Biswas ◽

Johnson Carroll

Keyword(s):

Mean Field Games ◽

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On the asymptotic optimality of the cμ/θ rule under ergodic cost

Queueing Systems ◽

10.1007/s11134-010-9206-x ◽

2010 ◽

Vol 67 (2) ◽

pp. 127-144 ◽

Author(s):

Rami Atar ◽

Chanit Giat ◽

Nahum Shimkin

Keyword(s):

Asymptotic Optimality ◽

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Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs

2008 47th IEEE Conference on Decision and Control ◽

10.1109/cdc.2008.4739165 ◽

2008 ◽

Author(s):

T. E. Duncan ◽

B. Pasik-Duncan ◽

L. Stettner

Keyword(s):

Transaction Costs ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Growth Optimal Portfolio ◽

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Convergence for Reflecting Boundaries, Singular Control and Ergodic Cost Problems

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_12 ◽

2001 ◽

pp. 301-323

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Singular Control ◽

Reflecting Boundaries ◽

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LQG mean-field games with ergodic cost

52nd IEEE Conference on Decision and Control ◽

10.1109/cdc.2013.6760255 ◽

2013 ◽

Author(s):

Martino Bardi ◽

Fabio S. Priuli

Keyword(s):

Mean Field Games ◽

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Numerical Methods for Stochastic Differential Games: The Ergodic Cost Criterion

Annals of the International Society of Dynamic Games - Advances in Dynamic Game Theory ◽

10.1007/978-0-8176-4553-3_30 ◽

2007 ◽

pp. 617-637 ◽

Author(s):

Harold J. Kushner

Keyword(s):

Numerical Methods ◽

Differential Games ◽

Stochastic Differential Games ◽

Cost Criterion ◽

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Risk sensitive control with ergodic cost criteria

[1992] Proceedings of the 31st IEEE Conference on Decision and Control ◽

10.1109/cdc.1992.371436 ◽

2005 ◽

Author(s):

W.H. Fleming ◽

W.M. McEneaney

Keyword(s):

Risk Sensitive ◽

Risk Sensitive Control ◽

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The Ergodic Cost Problem: Formulation and Algorithms

Numerical Methods for Stochastic Control Problems in Continuous Time ◽

10.1007/978-1-4684-0441-8_8 ◽

1992 ◽

pp. 193-216

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Problem Formulation ◽

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