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.

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Author:Patrick Cattiaux, Paolo Dai Pra, Sylvie Poelly
Series (Serial Number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2007, 02)
Document Type:Preprint
Year of Completion:2007
Publishing Institution:Universität Potsdam
Release Date:2011/03/30
RVK - Regensburg Classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht