Stability of long run functionals with respect to stationary Markov controls

2024/11/30 by Łukasz Stettner, Stettner, Lukasz · 2 citations
Economics, Econometrics and Finance · Engineering · #93E15 #93E20 #Advanced Control Systems Optimization #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2412.00587

openalex publication_date 2024/11/30 · openalex created_date 2024/12/05 · openalex updated_date 2026/07/28

Abstract

In the paper we study dependence of long run functionals and limit characteristics assuming that Borel measurable Markov controls converge pointwise. We consider two kinds of functionals: average cost per unit time and long run risk sensitive. We impose uniform ergodicity assumption, which is later is relaxed and suitable convergence of controlled transition probabilities.

Cited by

• Long run control of nonhomogeneous Markov processes
• Markov control of continuous time Markov processes with long run functionals by time discretization

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