Large time asymptotic problems for optimal stochastic control with superlinear cost
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Publication:424469
DOI10.1016/J.SPA.2011.12.005zbMATH Open1243.93132OpenAlexW2072444746MaRDI QIDQ424469FDOQ424469
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
Diffusion processes (60J60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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Cited In (25)
- 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
- 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
- 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
- Large-time behavior of unbounded solutions of viscous Hamilton-Jacobi equations in RN
- A Correction to “A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions
- 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
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
- Ergodic Problems for Viscous Hamilton--Jacobi Equations with Inward Drift
- 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
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