Large time asymptotic problems for optimal stochastic control with superlinear cost (Q424469): Difference between revisions

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+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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+J60
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+L20
@@ Property / Mathematics Subject Classification ID: 49L20 / rank @@
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+6040283
@@ Property / zbMATH DE Number: 6040283 / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic control
@@ Property / zbMATH Keywords: stochastic control / rank @@
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@@ Property / zbMATH Keywords @@
+large time behavior
@@ Property / zbMATH Keywords: large time behavior / rank @@
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@@ Property / zbMATH Keywords @@
+Hamilton--Jacobi--Bellman equation
@@ Property / zbMATH Keywords: Hamilton--Jacobi--Bellman equation / rank @@
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@@ Property / zbMATH Keywords @@
+ergodic control
@@ Property / zbMATH Keywords: ergodic control / rank @@
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+https://doi.org/10.1016/j.spa.2011.12.005
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+W2072444746
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@@ Property / cites work @@
+On the large time behavior of solutions of the Dirichlet problem for subquadratic viscous Hamilton-Jacobi equations
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+Semiconcave functions, Hamilton-Jacobi equations, and optimal control
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+Asymptotic Properties of Markoff Transition Probabilities
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+Risk-Sensitive Control on an Infinite Time Horizon
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+Optimal long term growth rate of expected utility of wealth
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+Asymptotic solutions of Hamilton-Jacobi equations in Euclidean $n$ space
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+Indifference Pricing and Hedging for Volatility Derivatives
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+Asymptotics of the probability minimizing a ``down-side'' risk
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+Recurrence and Transience of Optimal Feedback Processes Associated with Bellman Equations of Ergodic Type
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+Large Time Behavior of Solutions of Hamilton--Jacobi--Bellman Equations with Quadratic Nonlinearity in Gradients
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+On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
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+Linear and quasilinear elliptic equations
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+Downside risk minimization via a large deviations approach
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+Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
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+Global solutions of inhomogeneous Hamilton-Jacobi equations
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+Large time behavior of solutions of viscous Hamilton–Jacobi equations with superquadratic Hamiltonian
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+Publication:424469