On Bellman Equations in Quadratic Ergodic Control with Controller Constraints
Journal Article
·
· Applied Mathematics and Optimization
- Department of Mathematics, Faculty of Science, Toyama University, Toyama 930-8555 (Japan)
- Department of Mathematical Sciences, Faculty of Science, Ehime University, Matsuyama 790-0826 (Japan)
We consider the Bellman equation related to the quadratic ergodic control problem for stochastic differential systems with controller constraints. We solve this equation rigidly in C{sup 2} -class, and give the minimal value and the optimal control.
- OSTI ID:
- 21067555
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 39; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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