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

Annals of Probability

Volumn 34, Issue 1, 2006, Pages 284-320

  Kaise, Hidehiro ^a   Sheu, Shuenn Jyi ^b,c  

^a NAGOYA UNIVERSITY   (Japan)

^b ACADEMIA SINICA   (Taiwan)

^c INSTITUTE OF MATHEMATICS   (Taiwan)

Author keywords

Classification of solutions; Ergodic type Bellman equations; Risk senstive control; Transience and ergodicity; Variational representation

Indexed keywords

EID: 33644939007     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/009117905000000431     Document Type: Article

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