کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527267 958770 2012 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Large time asymptotic problems for optimal stochastic control with superlinear cost
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Large time asymptotic problems for optimal stochastic control with superlinear cost
چکیده انگلیسی
The paper is concerned with stochastic control problems of finite time horizon whose running cost function is of superlinear growth with respect to the control variable. We prove that, as the time horizon tends to infinity, the value function converges to a function of variable separation type which is characterized by an ergodic stochastic control problem. Asymptotic problems of this type arise in utility maximization problems in mathematical finance. From the PDE viewpoint, our results concern the large time behavior of solutions to semilinear parabolic equations with superlinear nonlinearity in gradients.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1248-1275
نویسندگان
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