CONVERGENCE OF THE RELATIVE VALUE ITERATION FOR THE ERGODIC CONTROL PROBLEM OF NONDEGENERATE DIFFUSIONS UNDER NEAR-MONOTONE COSTS

We study the relative value iteration for the ergodic control problem under a near-monotone running cost structure for a nondegenerate diffusion controlled through its drift. This algorithm takes the form of a quasi-linear parabolic Cauchy initial value problem in R-d. We show that this Cauchy problem stabilizes or, in other words, that the solution of the quasi-linear parabolic equation converges for every bounded initial condition in C-2(R-d) to the solution of the Hamilton-Jacobi-Bellman equation associated with the ergodic control problem