Ergodic control of random singular diffusions
- 24 December 2002
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 3 (01912216) , 2545-2550
- https://doi.org/10.1109/cdc.1996.573480
Abstract
We study an ergodic control problem of random singular diffusions. This is a typical hybrid system which arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems etc. Under a certain Liapunov type stability condition we establish the existence of an optimal control. We then study the corresponding Hamilton-Jacobi-Bellman equation and establish the existence of a unique viscosity solution in a certain class.Keywords
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