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ArticleLarge time asymptotic problems for optimal stochastic control with superlinear cost

Naoyuki Ichihara2011

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Articlebronze2011

Large time asymptotic problems for optimal stochastic control with superlinear cost

Naoyuki Ichihara

35 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Nonlinear Partial Differential Equations

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References

2005Controlled Markov Processes and Viscosity Solutions 1994Controlled markov processes and viscosity solutions 1995Risk-Sensitive Control on an Infinite Time Horizon 1999Optimal long term growth rate of expected utility of wealth 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models 2010Asymptotics of the probability minimizing a “down-side” risk

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2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions 2014On the Solvability of Some Ergodic Control Problems in $\mathbb{R}^d$

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2005On some recent aspects of stochastic control and their applicationsarticle · 3 shared references 2004An Application of Stochastic Control Theory to Financial Economicsarticle · 3 shared references 2006On the structure of solutions of ergodic type Bellman equation related to risk-sensitive controlarticle · 3 shared references 2010Asymptotics of the probability minimizing a “down-side” riskarticle · 3 shared references 2006STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITYarticle · 3 shared references 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approacharticle · 3 shared references

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Year2011

Typearticle

Published2011-12-20

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2011.12.005

openalex_workW2072444746

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