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Long Term Average Control of a Local Time Process

In: Markov Processes and Controlled Markov Chains

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  • Marta S. Mendiondo
  • Richard H. Stockbridge

Abstract

This paper provides a tractable numerical method for long-term average stochastic control problems in which the cost includes a term based on the local time process of a diffusion. The control problem is reformulated as a linear program over the set of invariant distributions for the process. In particular, the long-term average local time cost is expressed in terms of the invariant distribution. Markov chain approximations are used to reduce the infinite-dimensional linear programs to finite-dimensional linear programs and conditions for the convergence of the optimal values are given.

Suggested Citation

  • Marta S. Mendiondo & Richard H. Stockbridge, 2002. "Long Term Average Control of a Local Time Process," Springer Books, in: Zhenting Hou & Jerzy A. Filar & Anyue Chen (ed.), Markov Processes and Controlled Markov Chains, chapter 0, pages 425-441, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-0265-0_27
    DOI: 10.1007/978-1-4613-0265-0_27
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