On additive and multiplicative (controlled) Poisson equations

• Autorzy: G. B. Di Masi , Ł. Stettner
• Języki publikacji: EN

Abstrakty

EN

Assuming that a Markov process satisfies the minorization property, existence and properties of the solutions to the additive and multiplicative Poisson equations are studied using splitting techniques. The problem is then extended to the study of risk sensitive and risk neutral control problems and corresponding Bellman equations.

Kategorie tematyczne

• 60J05: Discrete-time Markov processes on general state spaces
• 93E20: Optimal stochastic control
• 93C55: Discrete-time systems

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2006
• Tom: 72
• Numer: 1
• Strony: 57-70

Daty

wydano

2006

Twórcy

autor

G. B. Di Masi

• Dipartimento di Matematica Pura ed Applicata, Università di Padova, Via Belzoni 7, 35131 Padova, Italy

autor

Ł. Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/bc72-0-4