Abstract
in this paper we consider an optimal control problem for a diffusion process y(t)=y vx solution of dy(t)=g(y)dt + σ(y)dwt+dvt, where vt is an increasing positive adapted process, with the long term average cost
The paper gives, for one dimensional processes, existence result for an optimal control in relation with a reflected diffusion process as in Karatzas [16], and characterization of the optimal cost. Moreover, the asymptotic analysis of the discounted cost problem is carried out.
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Menaldi, J.L., Robin, M. (1984). Some singular control problem with long term average criterion. In: Thoft-Christensen, P. (eds) System Modelling and Optimization. Lecture Notes in Control and Information Sciences, vol 59. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0008916
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DOI: https://doi.org/10.1007/BFb0008916
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