A Constructive Approach to a Class of Ergodic HJB Equations with Unbounded and Nonsmooth Cost
Abstract
We consider a class of ergodic Hamilton–Jacobi–Bellman (HJB) equations related to long-time asymptotics of nonsmooth 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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Published In
SIAM Journal on Control and Optimization
Pages: 2598 - 2615
DOI: 10.1137/070698634
ISSN (online): 1095-7138
Copyright
Copyright © 2008 Society for Industrial and Applied Mathematics.
History
Submitted: 30 July 2007
Accepted: 5 June 2008
Published online: 13 October 2008
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