Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model.

Abstract

Defining the solution to a stochastic differential equation to be the solution to the Martingale problem of Strook and Varadhan, we obtain results on the existence of an optimal stationary control for the average cost per unit time problem, a necessary and sufficient condition for optimality of a control, and a number of other related results. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1977
Accession Number
ADA041312

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Convergence
  • Convex Sets
  • Differential Equations
  • Diffusion
  • Dynamic Programming
  • Equations
  • Inequalities
  • Integrals
  • Invariance
  • Markov Chains
  • Markov Processes
  • New York
  • Probability
  • Sequences
  • Theorems
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.