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

1 March 1978

journal article
Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization

Vol. 16 (2) , 330-346
https://doi.org/10.1137/0316021

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.

Keywords

This publication has 7 references indexed in Scilit:

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