A generalized monotone control problem with average cost criterion

L.A. PARENTE; L.S. ARAGONE; P.A. LOTITO

Rio de Janeiro

Workshop; Workshop on Analysis and Applications of Stochastic Systems; 2016

IMPA, Instituto Nacional de Matemática Pura e Aplicada

In this work we address the analytical aspects and regularity properties of an optimal control problem with long run average cost criterion for systems which involves monotone controls. The approach is carried out through the study of the asymptotic behavior of an associated innite horizon problem, whose solution is given in terms of the viscosity solutions of an adequate Hamilton-Jacobi-Bellman (HJB) variational inequality. Assuming some controllability properties, these solutions converges to a solution of the original problem HJB system. We also present a discretization procedure and a numerical scheme, showing some preliminary numerical results.