This paper studies the average cost for controlled systems via the martingale problem for their generator. The stationary distributions for these processes on the product of the state and control spaces are characterized in terms of integration of the generator and existence of a stationary solution is established. This gives existence of a stationary control.
Publié le : 1990-01-14
Classification:
Average cost,
martingale problems,
stationary solutions,
stationary controls,
49A60,
93E20
@article{1176990944,
author = {Stockbridge, Richard H.},
title = {Time-Average Control of Martingale Problems: Existence of a Stationary Solution},
journal = {Ann. Probab.},
volume = {18},
number = {4},
year = {1990},
pages = { 190-205},
language = {en},
url = {http://dml.mathdoc.fr/item/1176990944}
}
Stockbridge, Richard H. Time-Average Control of Martingale Problems: Existence of a Stationary Solution. Ann. Probab., Tome 18 (1990) no. 4, pp. 190-205. http://gdmltest.u-ga.fr/item/1176990944/