A Simple Proof of the Theorem Concerning Optimality in a One-Dimensional Ergodic Control Problem |
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| Authors: | Y. Fujita |
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| Affiliation: | (1) Department of Mathematics, Faculty of Science, Toyama University, Toyama 930-8555, Japan , JP |
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| Abstract: | ![]()
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. Accepted 24 March 1998 |
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| Keywords: | . Ergodic control, Markov controls, {Č }eby{š }ev's inequality. AMS Classification. 93E20, 93C40. |
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