Large time asymptotic problems for optimal stochastic control with superlinear cost

Stochastic Processes and their Applications

Volumn 122, Issue 4, 2012, Pages 1248-1275

  Ichihara, Naoyuki ^a  

^a HIROSHIMA UNIVERSITY   (Japan)

Author keywords

Ergodic control; Hamilton Jacobi Bellman equation; Large time behavior; Stochastic control

Indexed keywords

CONTROL VARIABLE; ERGODIC CONTROL; ERGODICS; FINITE TIME HORIZON; HAMILTON JACOBI BELLMAN EQUATION; LARGE TIME BEHAVIOR; MATHEMATICAL FINANCE; NON-LINEARITY; OPTIMAL STOCHASTIC CONTROL; SEMILINEAR PARABOLIC EQUATION; STOCHASTIC CONTROL; SUPERLINEAR; SUPERLINEAR GROWTH; TIME ASYMPTOTIC; TIME HORIZONS; UTILITY MAXIMIZATIONS; VALUE FUNCTIONS; VARIABLE SEPARATION;

PARTIAL DIFFERENTIAL EQUATIONS;

STOCHASTIC CONTROL SYSTEMS;

EID: 84857980321     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2011.12.005     Document Type: Article

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