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On the Non-Uniqueness of Solutions to the Average Cost HJB for Controlled Diffusions with Near-Monotone Costs
Published 21 Sep 2013 in cs.SY and math.OC | (1309.6307v1)
Abstract: We present a theorem for verification of optimality of controlled diffusions under the average cost criterion with near-monotone running cost, without invoking any blanket stability assumptions. The implications of this result to the policy iteration algorithm are also discussed.
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