On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs
نویسنده
چکیده
We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy iteration algorithm are also discussed. Index Terms controlled diffusions, near-monotone costs, Hamilton–Jacobi–Bellman equation, policy iteration
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ورودعنوان ژورنال:
- CoRR
دوره abs/1309.6307 شماره
صفحات -
تاریخ انتشار 2013