Preprint
Aug 2026
Ergodic Stochastic Optimal Control Problems
In this article, we introduce a novel approach to solving the ergodic stochastic optimal control problem whose dynamics is driven by a controlled stochastic differential equation. The coefficients of this stochastic differential equation are non-autonomous but periodic in time. We first prove that the infinite horizon...
Cheng-Lin Ma, Huaizhong Zhao
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