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On Bellman Equations in Quadratic Ergodic Control with Controller Constraints |
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| Authors: | Y. Fujita H. Morimoto |
| Affiliation: | (1) Department of Mathematics, Faculty of Science, Toyama University, Toyama 930-8555, Japan , JP;(2) Department of Mathematical Sciences, Faculty of Science, Ehime University, Matsuyama 790-0826, Japan , JP |
| Abstract: | 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 2 -class, and give the minimal value and the optimal control. Accepted 9 January 1997 |
| Keywords: | . Ergodic control problem Bellman equation Controller constraints. AMS Classification. 93E20 93C40. |
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