On additive and multiplicative (controlled) Poisson equations
G. B. Di Masi ; Ł. Stettner
Banach Center Publications, Tome 72 (2006), p. 57-70 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2006-01-01
EUDML-ID : urn:eudml:doc:282297 
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     title = {On additive and multiplicative (controlled) Poisson equations},
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     year = {2006},
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     language = {en},
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G. B. Di Masi; Ł. Stettner. On additive and multiplicative (controlled) Poisson equations. Banach Center Publications, Tome 72 (2006) pp. 57-70. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc72-0-4/