Institute of Mathematics for Industry


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Large time asymptotic problems for optimal stochastic control with superlinear cost

Hold Date 2011-07-08 15:30~2011-07-08 17:00

Place Seminar Room 3, Faculty of Mathematics building, Ito Campus

Object person  

Speaker Naoyuki ICHIHARA (Hiroshima University)

 We discuss some 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. From the PDE viewpoint,
our results concern the large time behavior of 
solutions to semilinear parabolic equations with 
superlinear nonlinearity in gradients.