Applied Mathematics and Optimization, Vol.57, No.3, 349-369, 2008
Characterizations of overtaking optimality for controlled diffusion processes
In this paper we give conditions for (the existence and) several characterizations of overtaking optimal policies for a general class of controlled diffusion processes. Our characterization results are of a lexicographical type; namely, first we identify the class of so-called canonical policies, and then within this class we search for policies with some special feature-for instance, canonical policies that in addition maximize the bias.
Keywords:controlled diffusions;average reward (a.k.a. ergodic reward);overtaking optimality;bias optimality