Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint
ISSN (print) 1613-3307
URN urn:nbn:de:kobv:517-series-317
Herausgegeben vom
Institut für Mathematik, Mathematische Statistik und Wahrscheinlichkeitstheorie
URN urn:nbn:de:kobv:517-series-317
Herausgegeben vom
Institut für Mathematik, Mathematische Statistik und Wahrscheinlichkeitstheorie
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2007, 02
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.