Titlebook: Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems; Harold J. Kushner Book 1990 Birkh?user Boston

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Controlled Stochastic Differential Equations,ncerning the existence of an optimal control. We work with one particular type of cost functional for simplicity in the development. In Section 1, ordinary admissible controls are introduced and it is shown why they might not be adequate for our needs. Section 2 introduces the notion of “relaxed con

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Functional Occupation Measures and Average Cost per Unit Time Problems, the limit (as . → 0, . → ∞) pathwise cost as the cost associated with an average cost per unit time problem for the averaged system. The concept of feedback relaxed control was introduced and it was shown, under given conditions, that the limit costs were the average costs per unit time for some av

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