Document Type

Article

Abstract

We consider a stochastic optimal control problem in the whole space, where the corresponding HJB equation is degenerate, with a quadratic running cost and coeffcients with linear growth. In this paper we provide a full mathematical details on the key estimate relating the asymptotic behavior of the solution as the space variable goes to infinite.

Disciplines

Numerical Analysis and Computation

Comments

The final publication is available at Springer via https://dx.doi.org/10.1007/s00030-010-0066-1

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