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: | , , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Universität Potsdam
2007
|
| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-49430 http://opus.kobv.de/ubp/volltexte/2011/4943/ |