|Start Page Number:||746|
|End Page Number:||762|
|Publication Date:||Jun 2017|
|Journal:||Journal of Optimization Theory and Applications|
|Authors:||Wu Yen-Lin, Chen Zhi-You|
|Keywords:||optimization, stochastic processes|
This paper discusses an eigenvalue problem for a singular ergodic control. The eigenvalue has a probabilistic interpretation which can be regarded as the least, long‐time averaged (ergodic) cost for a singular control problem. The existence and uniqueness of positive radial solutions of an equation with constraints involving gradient which is related to a stochastic optimal control problem under certain conditions on the nonlinearity of the equation are examined.