This paper is devoted to the study of the asymptotic behaviour of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relationship with suitable stochastic ergodic control problems. Our methodology is based only on probabilistic techniques, as, for instance, the so-called randomisation of the control method, thus avoiding completely analytical tools from the theory of viscosity solutions. We are then able to treat with the case where the state process takes values in a general (possibly infinite-dimensional) real separable Hilbert space, and the diffusion coefficient is allowed to be degenerate.

Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise / Cosso A.; Guatteri G.; Tessitore G.. - In: ESAIM. COCV. - ISSN 1292-8119. - STAMPA. - 25:(2019), pp. 1-29. [10.1051/cocv/2018056]

Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise

Cosso A.;
2019

Abstract

This paper is devoted to the study of the asymptotic behaviour of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relationship with suitable stochastic ergodic control problems. Our methodology is based only on probabilistic techniques, as, for instance, the so-called randomisation of the control method, thus avoiding completely analytical tools from the theory of viscosity solutions. We are then able to treat with the case where the state process takes values in a general (possibly infinite-dimensional) real separable Hilbert space, and the diffusion coefficient is allowed to be degenerate.
2019
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise / Cosso A.; Guatteri G.; Tessitore G.. - In: ESAIM. COCV. - ISSN 1292-8119. - STAMPA. - 25:(2019), pp. 1-29. [10.1051/cocv/2018056]
Cosso A.; Guatteri G.; Tessitore G.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/698219
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