On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

DOI10.1214/009117905000000431zbMath1092.60030arXivmath/0602625OpenAlexW2000196006MaRDI QIDQ2493181

Publication date: 12 June 2006

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602625

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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