Large time asymptotic problems for optimal stochastic control with superlinear cost
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Cites work
- scientific article; zbMATH DE number 55826 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 707209 (Why is no real title available?)
- Asymptotic Properties of Markoff Transition Probabilities
- Asymptotic solutions of Hamilton-Jacobi equations in Euclidean $n$ space
- Asymptotics of the probability minimizing a ``down-side risk
- Downside risk minimization via a large deviations approach
- Global solutions of inhomogeneous Hamilton-Jacobi equations
- Indifference Pricing and Hedging for Volatility Derivatives
- Large time behavior of solutions of Hamilton-Jacobi-Bellman equations with quadratic nonlinearity in gradients
- Large time behavior of solutions of viscous Hamilton-Jacobi equations with superquadratic Hamiltonian
- Linear and quasilinear elliptic equations
- On the large time behavior of solutions of the Dirichlet problem for subquadratic viscous Hamilton-Jacobi equations
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Optimal long term growth rate of expected utility of wealth
- Recurrence and transience of optimal feedback processes associated with Bellman equations of ergodic type
- Risk-Sensitive Control on an Infinite Time Horizon
- Semiconcave functions, Hamilton-Jacobi equations, and optimal control
- Space-time periodic solutions and long-time behavior of solutions to quasi-linear parabolic equations
Cited in
(26)- A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation
- Nonlocal ergodic control problem in \(\mathbb{R}^d\)
- Qualitative properties of generalized principal eigenvalues for superquadratic viscous Hamilton-Jacobi equations
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
- Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- 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
- On uniqueness of solutions to viscous HJB equations with a subquadratic nonlinearity in the gradient
- Asymptotic Evolution of a Stochastic Control Problem
- On unbounded solutions of ergodic problems for non-local Hamilton-Jacobi equations
- Phase transitions arising in stochastic ergodic control associated with viscous Hamilton-Jacobi equations with bounded inward drift
- On unbounded solutions of ergodic problems in ℝmfor viscous Hamilton–Jacobi equations
- Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
- Liouville properties and critical value of fully nonlinear elliptic operators
- Large-time behavior of unbounded solutions of viscous Hamilton-Jacobi equations in \(\mathbb{R}^N\)
- Ergodic problems for viscous Hamilton-Jacobi equations with inward drift
- Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
- Sharp estimates of the generalized principal eigenvalue for superlinear viscous Hamilton-Jacobi equations with inward drift
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Open Problem—Convergence and Asymptotic Optimality of the Relative Value Iteration in Ergodic Control
- A variational characterization of the optimal exit rate for controlled diffusions
- Stochastic variational formula for fundamental solutions of parabolic PDE
- Controlled equilibrium selection in stochastically perturbed dynamics
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