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Ergodic control of switching diffusions. (English) Zbl 0891.93081

The existence of a stable, nonrandomized Markov policy is derived for the ergodic control problem of switching diffusions. The HJB equation is studied and the optimal control is characterized as a minimizing selector of the corresponding Hamiltonian.
An extensive example is presented to apply the results to a failure-prone manufacturing system, for which closed form solutions for the optimal policy are derived.
Reviewer: M.Kohlmann (Bonn)

MSC:

93E20 Optimal stochastic control
60J60 Diffusion processes
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