A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost

DOI10.1137/070698634MaRDI QIDQ3399258zbMATHOpenAlexFDO

Authors Patrick Cattiaux, Paolo Dai Pra, Sylvie Rœlly

Publication date 29 September 2009

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2fe3dd3df775908f05b054eaa662775501ad5e44

zbMATH Keywords

HJB equationviscosity solutionlong-time asymptoticscluster expansion

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35) Optimal stochastic control (93E20)

Recommendations

• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
• Ergodic control of degenerate diffusions
• Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations
• Ergodic control in \(L^\infty\)
• On ergodic problem for Hamilton-Jacobi-Isaacs equations

Cited in

(5)

• A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation
• Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes
• Ergodic control in \(L^\infty\)
• Exponential ergodicity for a class of non-Markovian stochastic processes
• Moderate deviation principles for unbounded additive functionals of distribution dependent SDEs

This page was built for publication: A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3399258)