We introduce a notion of pathwise optimality for stochastic control problems over an infinite time horizon, and give sufficient conditions for the existence of pathwise optimal controls. We analyze both diffusion processes and processes with discrete ...
We consider a class of stochastic control problems where uncertainty is due to driving noises of general nature as well as to rapidly fluctuating processes affecting the drift. We show that, when the noise "intensity" is small and the fluctuations ...
A controlled Markov process in a Hilbert space and an ergodic cost functional are given for a control problem that is solved where the process is a solution of a parameter-dependent semilinear stochastic differential equation and the control can occur ...
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