A representation theorem for the viscosity solutions of a degenerate ergodic Hamilton-Jacobi-Bellman equation on the torus

DOI10.1016/J.CRMA.2008.09.020MaRDI QIDQ957555zbMATH OpenOpenAlexFDO

Authors Marianne Akian, Benoît David, Stéphane Gaubert

Publication date 28 November 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2008.09.020

zbMATH Keywords

stochastic control problemergodic Hamilton-Jacobi-Bellman equationstabilizability assumption

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

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• Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
• Ergodic Type Problems and Large Time Behaviour of Unbounded Solutions of Hamilton–Jacobi Equations
• Lyapunov stabilizability of controlled diffusions via a superoptimality principle for viscosity solutions
• On ergodic stochastic control
• On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions
• PDE aspects of Aubry-Mather theory for quasiconvex Hamiltonians
• Representation formulas for solutions of Hamilton-Jacobi equations with convex Hamiltonians
• Singular perturbations of nonlinear degenerate parabolic pDEs: A general convergence result
• Spectral theorem for convex monotone homogeneous maps, and ergodic control
• Théorème KAM faible et théorie de Mather sur les systèmes lagrangiens

Cited in

(3)

• The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
• scientific article; zbMATH DE number 7201291 (Why is no real title available?)
• Generalized Lax-Hopf formulas for Cournot maps and Hamilton-Jacobi-McKendrick equations

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