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

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...

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Bibliographic Details
Main Authors: Cattiaux, Patrick, Dai Pra, Paolo, Poelly, Sylvie
Format: Others
Language:English
Published: Universität Potsdam 2007
Subjects:
Mathematics
Online Access:http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-49430
http://opus.kobv.de/ubp/volltexte/2011/4943/
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spelling ndltd-Potsdam-oai-kobv.de-opus-ubp-49432013-01-08T00:55:23Z A constructive approach to a class of ergodic HJB equations with nonsmooth cost Cattiaux, Patrick Dai Pra, Paolo Poelly, Sylvie Mathematics 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. Universität Potsdam Mathematisch-Naturwissenschaftliche Fakultät. Institut für Mathematik 2007 Preprint application/pdf urn:nbn:de:kobv:517-opus-49430 http://opus.kobv.de/ubp/volltexte/2011/4943/ eng http://opus.kobv.de/ubp/doku/urheberrecht.php
collection NDLTD
language English
format Others
sources NDLTD
topic Mathematics
spellingShingle Mathematics
Cattiaux, Patrick
Dai Pra, Paolo
Poelly, Sylvie
A constructive approach to a class of ergodic HJB equations with nonsmooth cost
description 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.
author Cattiaux, Patrick
Dai Pra, Paolo
Poelly, Sylvie
author_facet Cattiaux, Patrick
Dai Pra, Paolo
Poelly, Sylvie
author_sort Cattiaux, Patrick
title A constructive approach to a class of ergodic HJB equations with nonsmooth cost
title_short A constructive approach to a class of ergodic HJB equations with nonsmooth cost
title_full A constructive approach to a class of ergodic HJB equations with nonsmooth cost
title_fullStr A constructive approach to a class of ergodic HJB equations with nonsmooth cost
title_full_unstemmed A constructive approach to a class of ergodic HJB equations with nonsmooth cost
title_sort constructive approach to a class of ergodic hjb equations with nonsmooth cost
publisher Universität Potsdam
publishDate 2007
url http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-49430
http://opus.kobv.de/ubp/volltexte/2011/4943/
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