Ergodic problem for the Hamilton-Jacobi-Bellman equation. I: Existence of the ergodic attractor (Q1368892): Difference between revisions

This paper is concerned with the existence of an attractor for the solution \(x_\alpha\) of the ODE, \(\dot x_\alpha=b(x_\alpha(t), \alpha(t))\), \(x_\alpha(0)=x\in\bar\Omega\), \(x_\alpha(t)\in\bar\Omega\), when the limit of \(\lambda u_{\lambda}(x)\) (when \(\lambda\) goes to zero) is independent of \(x\in\bar\Omega\), and the value function \(u_\lambda(x)=\inf_\alpha \int_0^\infty e^{-\lambda s} f(x_\alpha(s),\alpha(s)) ds\) is the viscosity solution to the Hamilton-Jacobi-Bellman equation \[ \sup_{\alpha\in A}\{-\langle b(x,\alpha)\cdot\nabla u_\lambda(x)\rangle+ \lambda u_{\lambda}(x)-f(x,\alpha)\}=0,\;x\in\Omega, \] with some boundary conditions. Here \(\Omega\) is a bounded connected smooth domain in \(R^n\), \(\alpha\) stands for the control variable. When \(f(x,\alpha)= f(x)+g(x,\alpha)\) (with \(f\) Lipschitz and \(g\) bounded) and when \(\lim_{\lambda}\lambda u_{\lambda}(x)=d_f\) for all \(x\in\bar\Omega\), the author proves the existence of an ergodic attractor. The attractor is closed, connected and positively invariant. Moreover, it satisfies some time averaged property. A similar result is proved for the nonstationary Hamilton-Jacobi-Bellman equation.