Existence of Asymptotic Values for Nonexpansive Stochastic Control Systems

Buckdahn, Rainer; Goreac, Dan; Quincampoix, Marc
August 2014
Applied Mathematics & Optimization;Aug2014, Vol. 70 Issue 1, p1
Academic Journal
We consider an optimal stochastic control problem for which the payoff is the average of a given cost function. In a non ergodic setting, but under a suitable nonexpansivity condition, we obtain the existence of the limit value when the averaging parameter converges (namely the discount factor tends to zero for Abel mean or the horizon tends to infinity for the Cesàro mean). The main novelty of our result lies on the fact that this limit may depend on initial conditions of the control system (in contrast to what is usually obtained by other approaches). We also prove that the limit does not depend of the chosen average (Abel or Cesàro mean).


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