Existence of bounded solutions to multiplicative Poisson equations under mixing property
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866911880125087744 |
|---|---|
| author | Pitera, Marcin Stettner, Łukasz |
| author_facet | Pitera, Marcin Stettner, Łukasz |
| contents | In this paper we study the problem of Multiplicative Poisson Equation (MPE) bounded solution existence in the generic discrete-time setting. Assuming mixing and boundedness of the risk-reward function, we investigate what conditions should be imposed on the underlying non-controlled probability kernel or the reward function in order for the MPE bounded solution to always exists. In particular, we consolidate span-norm framework based results and derive an explicit sharp bound that needs to be imposed on the cost function to guarantee the bounded solution existence under mixing. Also, we study the properties which the probability kernel must satisfy to ensure existence of bounded MPE for any generic risk-reward function and characterise process behaviour in the complement of the invariant measure support. Finally, we present numerous examples and stochastic-dominance based arguments that help to better understand the intricacies that emerge when the ergodic risk-neutral mean operator is replaced with ergodic risk-sensitive entropy. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_02829 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Existence of bounded solutions to multiplicative Poisson equations under mixing property Pitera, Marcin Stettner, Łukasz Probability 90C40, 93E20, 60J35, 93C55 In this paper we study the problem of Multiplicative Poisson Equation (MPE) bounded solution existence in the generic discrete-time setting. Assuming mixing and boundedness of the risk-reward function, we investigate what conditions should be imposed on the underlying non-controlled probability kernel or the reward function in order for the MPE bounded solution to always exists. In particular, we consolidate span-norm framework based results and derive an explicit sharp bound that needs to be imposed on the cost function to guarantee the bounded solution existence under mixing. Also, we study the properties which the probability kernel must satisfy to ensure existence of bounded MPE for any generic risk-reward function and characterise process behaviour in the complement of the invariant measure support. Finally, we present numerous examples and stochastic-dominance based arguments that help to better understand the intricacies that emerge when the ergodic risk-neutral mean operator is replaced with ergodic risk-sensitive entropy. |
| title | Existence of bounded solutions to multiplicative Poisson equations under mixing property |
| topic | Probability 90C40, 93E20, 60J35, 93C55 |
| url | https://arxiv.org/abs/2309.02829 |