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arXiv · 2405.00067

Small noise perturbations of stochastic ergodic control problems

K. Suresh Kumar·Vikrant Desai
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Abstract

Using small noise limit approach, we study degenerate stochastic ergodic control problems and as a byproduct obtain error bounds for the $\varepsilon$-optimal controls. We also establish tunneling for a special ergodic control problem and give a representation of the ergodic value using the tunneled Markov chain.

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K. Suresh Kumar, Vikrant Desai. 2024-04-28. Small noise perturbations of stochastic ergodic control problems. https://arxiv.org/abs/2405.00067

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