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On the Solutions of the Problem for a Singular Ergodic Control

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  • Yen-Lin Wu

    (National Central University)

  • Zhi-You Chen

    (National Changhua University of Education)

Abstract

This paper discusses an eigenvalue problem for a singular ergodic control. The eigenvalue has a probabilistic interpretation which can be regarded as the least, long-time averaged (ergodic) cost for a singular control problem. The existence and uniqueness of positive radial solutions of an equation with constraints involving gradient which is related to a stochastic optimal control problem under certain conditions on the nonlinearity of the equation are examined.

Suggested Citation

  • Yen-Lin Wu & Zhi-You Chen, 2017. "On the Solutions of the Problem for a Singular Ergodic Control," Journal of Optimization Theory and Applications, Springer, vol. 173(3), pages 746-762, June.
    • Handle: RePEc:spr:joptap:v:173:y:2017:i:3:d:10.1007_s10957-017-1099-y
    DOI: 10.1007/s10957-017-1099-y
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    References listed on IDEAS

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    1. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
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