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Degenerate Variance Control in the One-dimensional Stationary Case


 
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1. Title Title of document Degenerate Variance Control in the One-dimensional Stationary Case
 
2. Creator Author's name, affiliation, country Daniel L Ocone; Rutgers University
 
2. Creator Author's name, affiliation, country Ananda Weerasinghe; Iowa State University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) stochastic control;stationary control, degenerate variance control
 
3. Subject Subject classification 93E20; 60G35
 
4. Description Abstract We study the problem of stationary control by adaptive choice of the diffusion coefficient in the case that control degeneracy is allowed and the drift admits a unique, asymptotically stable equilibrium point. We characterize the optimal value and obtain it as an Abelian limit of optimal discounted values and as a limiting average of finite horizon optimal values, and we also characterize the optimal stationary strategy. In the case of linear drift, the optimal stationary value is expressed in terms of the solution of an optimal stopping problem. We generalize the above results to allow unbounded cost functions.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2004-01-08
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/181
 
10. Identifier Digital Object Identifier 10.1214/EJP.v8-181
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 8
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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