A constructive approach to a class of ergodic HJB equations with nonsmooth cost

Cattiaux, P; Dai Pra, P.; Roelly, S

doi:10.1137/070698634

We consider a class of ergodic Hamilton–Jacobi–Bellman (HJB) equations related to long-time asymptotics of nonsmooth multiplicative functional of diffusion processes. Under suitable ergodicity assumptions on the underlying diffusion, we show existence of these asymptotics and that they solve the related HJB equation in the viscosity sense.

Titolo:	A constructive approach to a class of ergodic HJB equations with nonsmooth cost
Autori:	CATTIAUX P DAI PRA, Paolo ROELLY S mostra contributor esterni nascondi contributor esterni
Data di pubblicazione:	2008
Rivista:	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
Abstract:	We consider a class of ergodic Hamilton–Jacobi–Bellman (HJB) equations related to long-time asymptotics of nonsmooth multiplicative functional of diffusion processes. Under suitable ergodicity assumptions on the underlying diffusion, we show existence of these asymptotics and that they solve the related HJB equation in the viscosity sense.
Handle:	http://hdl.handle.net/11562/1009583
Appare nelle tipologie:	01.01 Articolo in Rivista

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