The Vanishing Discount Approach for PDMPs
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Abstract
This chapter is devoted to the existence of an optimal control strategy for the long-run average continuous control problem of PDMPs using the vanishing discount approach. This is done by first establishing in Sect. 4.2 an optimality equation for the discounted control problem. In the sequel, two sets of assumptions are considered.
Keywords
Discounted Control Problem Optimality Equation Optimal Feedback Control Strategies Weighted Norm Spaces Geometric Ergodicity Condition
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Copyright information
© Oswaldo Luiz do Valle Costa, François Dufour 2013