A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost

DOI10.1137/070698634zbMath1179.47039OpenAlexW2157166804MaRDI QIDQ3399258

Paolo Dai Pra, Patrick Cattiaux, Sylvie Roelly

Publication date: 29 September 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2fe3dd3df775908f05b054eaa662775501ad5e44

zbMATH Keywords

viscosity solutionHJB equationlong-time asymptoticscluster expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov semigroups and applications to diffusion processes (47D07) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35)

Related Items (3)

Moderate deviation principles for unbounded additive functionals of distribution dependent SDEs ⋮ Exponential ergodicity for a class of non-Markovian stochastic processes ⋮ Harnack inequality and long time asymptotics of unbounded additive functionals of regime-switching diffusion processes

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