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Applied Mathematics and Optimization, Vol.41, No.1, 1-7, 2000
A simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem
We give a simple proof of the theorem concerning optimality in a one-dimensional ergodic control problem. We characterize the optimal control in the class of all Markov controls. Our proof is probabilistic and does not need to solve the corresponding Bellman equation. This simplifies the proof.
Keywords:DIFFUSIONS