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.
Author details: | Patrick Cattiaux, Paolo Dai Pra, Sylvie Poelly |
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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): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |