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 diusion processes. Under suitable ergodicity assumptions on the underlying diusion, we show existence of these asymptotics, and that they solve the rel...
| Main Authors: | , , |
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| Format: | Others |
| Language: | English |
| Published: |
Universität Potsdam
2007
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-49430 http://opus.kobv.de/ubp/volltexte/2011/4943/ |
| Summary: | We consider a class of ergodic Hamilton-Jacobi-Bellman (HJB) equations, related to large time asymptotics of non-smooth multiplicative functional of diusion processes. Under suitable ergodicity assumptions on the underlying diusion, we show existence of these asymptotics, and that they solve the related HJB equation in the viscosity sense. |
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