Differential and Integral Equations
- Differential Integral Equations
- Volume 16, Number 6 (2003), 641-651.
A comparison theorem for Bellman equations of ergodic control
The aim of this paper is to establish a comparison theorem for the Bellman equation of an ergodic control in $ \mathbb R ^d$. This comparison theorem gives a new characterization of the optimal value by sub/super--solutions of the Bellman equation. This result is applicable to compute both of lower and upper bound of the optimal value. Furthermore, from this comparison theorem, we also give a simple proof of the uniqueness result for the Bellman equation.
Differential Integral Equations, Volume 16, Number 6 (2003), 641-651.
First available in Project Euclid: 21 December 2012
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Fujita, Yasuhiro; Ohmori, Katsushi. A comparison theorem for Bellman equations of ergodic control. Differential Integral Equations 16 (2003), no. 6, 641--651. https://projecteuclid.org/euclid.die/1356060604