• search hit 6 of 7
Back to Result List

A constructive approach to a class of ergodic HJB equations with nonsmooth cost

  • We consider a class of ergodic Hamilton-Jacobi-Bellman (HJB) equations, related to large time asymptotics of non-smooth multiplicative functional of difusion processes. Under suitable ergodicity assumptions on the underlying difusion, we show existence of these asymptotics, and that they solve the related HJB equation in the viscosity sense.

Download full text files

Export metadata

Additional Services

Search Google Scholar Statistics
Metadaten
Author details:Patrick Cattiaux, Paolo Dai Pra, Sylvie Poelly
URN:urn:nbn:de:kobv:517-opus-49430
Publication series (Volume number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2007, 02)
Publication type:Preprint
Language:English
Publication year:2007
Publishing institution:Universität Potsdam
Release date:2011/03/30
RVK - Regensburg classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
License (German):License LogoKeine öffentliche Lizenz: Unter Urheberrechtsschutz
Accept ✔
This website uses technically necessary session cookies. By continuing to use the website, you agree to this. You can find our privacy policy here.