On additive and multiplicative (controlled) Poisson equations
Volume 72 / 2006
Banach Center Publications 72 (2006), 57-70
MSC: Primary 93E20; Secondary 60J05, 93C55.
DOI: 10.4064/bc72-0-4
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.
