Stochastic Systems Seminar
Abstract: We consider some nonlinear partial differential equations arising from the ergodic control problem or infinite time horizon risk sensitive control problem. Such equation has multiple solutions in general. We discuss the structure of solutions of such equations. We can identify a particular solution which relates to the control problem. More precisely, we give some examples to show that the feedback control derived from this particular solution is either optimal or nearly optimal. A general statement has not been proved yet, but is expected to hold.
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