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2015 A note on general Tauberian-type results for controlled stochastic dynamics
Dan Goreac
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Electron. Commun. Probab. 20: 1-12 (2015). DOI: 10.1214/ECP.v20-4142


In this note we show that, in the context of stochastic control systems, the uniform existence of a limit of Cesàro averages implies the existence of uniform limits for averages with respect to a wide class of measures dominated by the Lebesgue measure and satisfying some asymptotic condition. It gives a partial answer to the problem mentioned in Renault (2014) and it provides an alternative method for the approach in Li, Quincampoix, Renault (2015) (in the deterministic control setting). Finally, we mention that the arguments rely essentially on integration-by-parts and is applicable to general deterministic or stochastic control problems.


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Dan Goreac. "A note on general Tauberian-type results for controlled stochastic dynamics." Electron. Commun. Probab. 20 1 - 12, 2015.


Accepted: 2 December 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1347.60115
MathSciNet: MR3434207
Digital Object Identifier: 10.1214/ECP.v20-4142

Primary: 60J25
Secondary: 60G57 , 60J75 , 93E15 , 93E20

Keywords: Asymptotic Control , Jump-diffusions , Long Run Average , optimal control , Tauberian results

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