| Ergodic Control of Partially Degenerate Diffusions in a Compact Domain (2003) | |||||||||
Abstract | |||||||||
| The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the condition of partial degeneracy, i.e. when its transition kernel after some time is absolutely continuous with respect to the Lebesgue measure on a part of the state space. Existence of a value function and a "martingale dynamic programming principle" are established by mapping the problem to a discrete time control problem. Implications for existence of optimal controls are derived. | |||||||||
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