A variational characterization of the optimal exit rate for controlled diffusions

DOI10.1090/TPMS/1125zbMath1470.60221arXiv2002.05348OpenAlexW3143152619MaRDI QIDQ4989954

Vivek S. Borkar, Aristotle Arapostathis

Publication date: 27 May 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.05348

zbMATH Keywords

principal eigenvaluequasi-stationaritykilled diffusions\(Q\)-processexit rate

Mathematics Subject Classification ID

Estimates of eigenvalues in context of PDEs (35P15) Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)

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