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Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights.
Hongwei Mei
Qingmeng Wei
Jiongmin Yong
Published in:
SIAM J. Control. Optim. (2021)
Keyphrases
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optimal control
stochastic differential equations
expected cost
brownian motion
special case
average cost
dynamic programming
optimal solution
higher order
markov chain
control system
computational complexity
objective function
state space
total cost
cost function
stationary distribution
production cost