A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost
نویسندگان
چکیده
We consider a class of ergodic Hamilton-Jacobi-Bellman (HJB) equations, related to large time asymptotics of non-smooth 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.
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ورودعنوان ژورنال:
- SIAM J. Control and Optimization
دوره 47 شماره
صفحات -
تاریخ انتشار 2008