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作者：Meier, M
作者单位：Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE)
摘要：The probabilistic type spaces in the sense of Harsanyi [Management Sci. 14 (1967/68) 159-182, 320-334, 486-502] are the prevalent models used to describe interactive uncertainty. In this paper we examine the existence of a universal type space when beliefs are described by finitely additive probability measures. We find that in the category of all type spaces that satisfy certain measurability conditions (kappa-measurability, for some fixed regular cardinal K), there is a universal type space ...
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作者：Kaise, H; Sheu, SJ
作者单位：Nagoya University; Academia Sinica - Taiwan
摘要：Bellman equations of ergodic type related to risk-sensitive control are considered. We treat the case that the nonlinear term is positive quadratic form on first-order partial derivatives of solution, which includes linear exponential quadratic Gaussian control problem. In this paper we prove that the equation in general has multiple solutions. We shall specify the set of all the classical solutions and classify the solutions by a global behavior of the diffusion process associated with the gi...
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作者：Feng, J
作者单位：University of Massachusetts System; University of Massachusetts Amherst
摘要：Large deviation for Markov processes can be studied by Hamilton-Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the transformed generators exists. Such limit induces a Hamilton-Jacobi equation. Second, we show that a strong form of uniqueness (the comparison principle) holds for the limit equation. Finally, we verify an exponential compact containment estimate. The large ...
