An Abelian Limit Approach to a Singular Ergodic Control Problem

Abstract

We consider an ergodic stochastic control problem for a class of one-dimensional Itô processes where the available control is an added bounded variation process. The corresponding infinite horizon discounted control problem is solved in [28]. Here, we show that, as the discount factor approaches zero, the optimal strategies derived in [28] “converge” to an… (More)
DOI: 10.1137/050646998

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