Stochastic control and principal eigenvaluet†

DOI10.1080/17442508308833285zbMath0535.93070MaRDI QIDQ3320263

Shuennjyi Sheu

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833285

zbMATH Keywords

principal eigenvalue; discounted control problem

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

47A70: (Generalized) eigenfunction expansions of linear operators; rigged Hilbert spaces

Related Items

Nonequilibrium Markov processes conditioned on large deviations, Asymptotic for the principal eigenvalue and eigenfunction of a nearly first-order operator with large potential, Global algorithms for maximal eigenpair, Variational and optimal control representations of conditioned and driven processes, Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds, A remark on the large deviations of an ergodic markov process

Cites Work

• Unnamed Item
• On a stochastic representation for the principal eigenvalue of a second-order differential equation
• On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
• A new energy characterization of the smallest eigenvalue of the schrödinger equation
• A minimum principle for the principal eigenvalue for second-order linear elliptic equations with natural boundary conditions
• Differentiability preserving properties of markov semigroups associated with one-dimensional diffusions