Ergodic control of diffusion processes

  • Vivek S. Borkar

    Tata Institute of Fundamental Research, Bombay, India
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Results concerning existence and characterization of optimal controls for ergodic control of nondegenerate diffusion processes are described. Extensions to the general ‘controlled martingale problem’ are indicated, which cover in particular degenerate diffusions and some infinite dimensional problems. In conclusion, some related problems and open issues are discussed.