On the uniqueness of solutions to the Poisson equations for average cost Markov chains with unbounded cost functions

2003 ◽  
Vol 58 (2) ◽  
pp. 221-236 ◽  
Author(s):  
Sandjai Bhulai ◽  
Flora M. Spieksma
Keyword(s):  
Markov Chains ◽  
Average Cost ◽  
Cost Functions ◽  
Uniqueness Of Solutions ◽  
Poisson Equations ◽  
Unbounded Cost

Controlled Semi-Markov Chains with Risk-Sensitive Average Cost Criterion

2016 ◽  
Vol 170 (2) ◽  
pp. 670-686 ◽  
Author(s):  
Selene Chávez-Rodríguez ◽  
Rolando Cavazos-Cadena ◽  
Hugo Cruz-Suárez
Keyword(s):  
Markov Chains ◽  
Average Cost ◽  
Average Cost Criterion ◽  
Cost Criterion ◽  
Risk Sensitive

Ex ante and ex post long-run average cost functions

1987 ◽  
Vol 19 (10) ◽  
pp. 1411-1419 ◽  
Author(s):  
L. J. Hubbard ◽  
P. J. Dawson
Keyword(s):  
Average Cost ◽  
Cost Functions ◽  
Ex Post ◽  
Long Run ◽  
Ex Ante

scholarly journals Pseudoconvexity properties of average cost functions

2015 ◽  
Vol 5 (3) ◽  
pp. 233-236
Author(s):  
R. Enkhbat ◽  
◽  
N. Tungalag ◽  
A. S. Strekalovsky ◽  
◽  
...  
Keyword(s):  
Average Cost ◽  
Cost Functions

scholarly journals Backward Doubly Stochastic Differential Equations with Markov Chains and a Comparison Theorem

Symmetry ◽  
2020 ◽  
Vol 12 (12) ◽  
pp. 1953
Author(s):  
Ning Ma ◽  
Zhen Wu
Keyword(s):  
Differential Equations ◽  
Markov Chains ◽  
Stochastic Differential Equations ◽  
Comparison Theorem ◽  
Lipschitz Condition ◽  
Existence And Uniqueness ◽  
Comparison Theorems ◽  
Yosida Approximation ◽  
Uniqueness Of Solutions ◽  
Doubly Stochastic

In this paper we study the existence and uniqueness of solutions for one kind of backward doubly stochastic differential equations (BDSDEs) with Markov chains. By generalizing the Itô’s formula, we study such problem under the Lipschitz condition. Moreover, thanks to the Yosida approximation, we solve such problem under monotone condition. Finally, we give the comparison theorems for such equations under the above two conditions respectively.

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