Ergodic control of diffusion processes
Vivek S. Borkar
Tata Institute of Fundamental Research, Bombay, India
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Abstract
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.