On additive and multiplicative (controlled) Poisson equations

G. B. Di Masi, and Ł. Stettner. "On additive and multiplicative (controlled) Poisson equations." Banach Center Publications 72.1 (2006): 57-70. <http://eudml.org/doc/282297>.

@article{G2006,
abstract = {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.},
author = {G. B. Di Masi, Ł. Stettner},
journal = {Banach Center Publications},
keywords = {risk neutral and risk sensitive control; discrete time Markov processes; splitting; Poisson equations; Bellman equations},
language = {eng},
number = {1},
pages = {57-70},
title = {On additive and multiplicative (controlled) Poisson equations},
url = {http://eudml.org/doc/282297},
volume = {72},
year = {2006},
}

TY - JOUR
AU - G. B. Di Masi
AU - Ł. Stettner
TI - On additive and multiplicative (controlled) Poisson equations
JO - Banach Center Publications
PY - 2006
VL - 72
IS - 1
SP - 57
EP - 70
AB - 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.
LA - eng
KW - risk neutral and risk sensitive control; discrete time Markov processes; splitting; Poisson equations; Bellman equations
UR - http://eudml.org/doc/282297
ER -