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Structure on Solutions of Ergodic Type Bellman Equations of First and Second Orders: Some Observations through the Singular Limits

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Hidehiro Kaise

    (Graduate School of Information Science, Nagoya University, Furo-cho, Chikusa-ku, Nagoya 464-8601, Japan)

  • Shuenn-Jyi Sheu

    (Institute of Mathematics, Academia Sinica, Nankang, Taipei 11529, Taiwan, R.O.C.)

Abstract

The following sections are included:IntroductionStructure of Solutions in Second Order CaseSingular LimitsSome Observation on Structure of Viscosity Solutions in First Order CaseReferences

Suggested Citation

  • Hidehiro Kaise & Shuenn-Jyi Sheu, 2004. "Structure on Solutions of Ergodic Type Bellman Equations of First and Second Orders: Some Observations through the Singular Limits," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 6, pages 119-132, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0006
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