A Linear PDE Approach to the Bellman Equation of Ergodic Control with Periodic Structure
Journal Article
·
· Applied Mathematics and Optimization
- Department of Mathematics, Faculty of Science, Toyama University, Toyama 930-8555 (Japan)
In this paper we give a new proof of the existence result of Bensoussan [1, Theorem II-6.1] for the Bellman equation of ergodic control with periodic structure. This Bellman equation is a nonlinear PDE, and he constructed its solution by using the solution of a nonlinear PDE. On the contrary, our key idea is to solve two linear PDEs. Hence, we propose a linear PDE approach to this Bellman equation.
- OSTI ID:
- 21064236
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 47; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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