A Note on General Tauberian-type Results for Controlled Stochastic Dynamics
نویسنده
چکیده
In this short note we show that, in the context of stochastic control systems, the uniform existence of a limit of Cesàro averages implies the existence of uniform limits for averages with respect to a wide class of measures dominated by the Lebesgue measure and satisfying some asymptotic condition. It gives a partial answer to the problem mentioned in [18] and it provides an alternative method for the approach in [13] (in the deterministic control setting). Finally, we mention that the arguments rely essentially on integration-by-parts and is applicable to general deterministic or stochastic control problems. AMS Classification: 60J25, 60J75, 60G57, 93E20, 93E15
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