Large time asymptotic problems for optimal stochastic control with superlinear cost
From MaRDI portal
Publication:424469
DOI10.1016/J.SPA.2011.12.005zbMATH Open1243.93132OpenAlexW2072444746MaRDI QIDQ424469FDOQ424469
Authors: Naoyuki Ichihara 
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.12.005
Recommendations
- Asymptotic Evolution of a Stochastic Control Problem
- Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon
- Stochastic optimal control and linear programming approach
- Representation of asymptotic values for nonexpansive stochastic control systems
- Pathwise optimality in stochastic control
Diffusion processes (60J60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Linear and quasilinear elliptic equations
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Semiconcave functions, Hamilton-Jacobi equations, and optimal control
- Optimal long term growth rate of expected utility of wealth
- Global solutions of inhomogeneous Hamilton-Jacobi equations
- Space-time periodic solutions and long-time behavior of solutions to quasi-linear parabolic equations
- Asymptotic solutions of Hamilton-Jacobi equations in Euclidean $n$ space
- Title not available (Why is that?)
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Large time behavior of solutions of Hamilton-Jacobi-Bellman equations with quadratic nonlinearity in gradients
- Risk-Sensitive Control on an Infinite Time Horizon
- On the large time behavior of solutions of the Dirichlet problem for subquadratic viscous Hamilton-Jacobi equations
- Recurrence and transience of optimal feedback processes associated with Bellman equations of ergodic type
- Asymptotics of the probability minimizing a ``down-side risk
- Downside risk minimization via a large deviations approach
- Asymptotic Properties of Markoff Transition Probabilities
- Large time behavior of solutions of viscous Hamilton-Jacobi equations with superquadratic Hamiltonian
- Indifference Pricing and Hedging for Volatility Derivatives
Cited In (26)
- Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control
- Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation
- On unbounded solutions of ergodic problems in ℝmfor viscous Hamilton–Jacobi equations
- Asymptotic Evolution of a Stochastic Control Problem
- Sharp estimates of the generalized principal eigenvalue for superlinear viscous Hamilton-Jacobi equations with inward drift
- A variational characterization of the optimal exit rate for controlled diffusions
- Ergodic problems for viscous Hamilton-Jacobi equations with inward drift
- Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control
- Phase transitions arising in stochastic ergodic control associated with viscous Hamilton-Jacobi equations with bounded inward drift
- Qualitative properties of generalized principal eigenvalues for superquadratic viscous Hamilton-Jacobi equations
- Liouville properties and critical value of fully nonlinear elliptic operators
- On uniqueness of solutions to viscous HJB equations with a subquadratic nonlinearity in the gradient
- Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents
- The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
- Nonlocal ergodic control problem in \(\mathbb{R}^d\)
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- On unbounded solutions of ergodic problems for non-local Hamilton-Jacobi equations
- On ergodic control problem for viscous Hamilton-Jacobi equations for weakly coupled elliptic systems
- A correction to ``A relative value iteration algorithm for nondegenerate controlled diffusions
- Large-time behavior of unbounded solutions of viscous Hamilton-Jacobi equations in \(\mathbb{R}^N\)
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
- Stochastic variational formula for fundamental solutions of parabolic PDE
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Controlled equilibrium selection in stochastically perturbed dynamics
This page was built for publication: Large time asymptotic problems for optimal stochastic control with superlinear cost
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424469)
