%0 Journal Article
%T Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic and Stationary Coefficients
%A Giuseppina Guatteri
%A Federica Masiero
%J Mathematics
%D 2008
%I arXiv
%X We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stationarity of the coefficients and a finite cost condition. We first treat the stationary case and we show that the optimal cost corresponding to this ergodic control problem coincides with the one corresponding to a suitable stationary control problem and we provide a full characterization of the ergodic optimal cost and control.
%U http://arxiv.org/abs/0804.4362v1