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January 2006 On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
Hidehiro Kaise, Shuenn-Jyi Sheu
Ann. Probab. 34(1): 284-320 (January 2006). DOI: 10.1214/009117905000000431


Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential quadratic Gaussian control problem. In this paper we prove that the equation in general has multiple solutions. We shall specify the set of all the classical solutions and classify the solutions by a global behavior of the diffusion process associated with the given solution. The solution associated with ergodic diffusion process plays particular role. We shall also prove the uniqueness of such solution. Furthermore, the solution which gives us ergodicity is stable under perturbation of coefficients. Finally, we have a representation result for the solution corresponding to the ergodic diffusion.


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Hidehiro Kaise. Shuenn-Jyi Sheu. "On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control." Ann. Probab. 34 (1) 284 - 320, January 2006.


Published: January 2006
First available in Project Euclid: 17 February 2006

zbMATH: 1092.60030
MathSciNet: MR2206349
Digital Object Identifier: 10.1214/009117905000000431

Primary: 60G35
Secondary: 60H30 , 93E20

Keywords: classification of solutions , Ergodic type Bellman equations , risk-senstive control , transience and ergodicity , variational representation

Rights: Copyright © 2006 Institute of Mathematical Statistics

Vol.34 • No. 1 • January 2006
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