On Stochastic Ergodic Control in Infinite Dimensions

Gołdys, Beniamin; Maslowski, Bohdan

doi:10.1007/978-3-0348-0021-1_6

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2017

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“…For further generalizations of such an HJB approach, both in finite and infinite dimensional framework both by analytic and by probabilistic tools see e.g. [8,7,11,6,17,2,1] We also refer to [9] for a survey on recent results obtained in this direction.…”

Section: Introductionmentioning

confidence: 99%

Ergodic Maximum Principle for Stochastic Systems

2017

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We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we employ is mainly built on duality techniques. We are able to construct a dual process for all positive times via the analysis of a suitable class of perturbed linearized forward equations. We show that such a process is the unique bounded solution to a Backward SDE on infinite horizon from which we can write a version of the SMP.1991 Mathematics Subject Classification. 60H15, 93E20.

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