Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control (Q391379)

This paper deals with viscous Hamilton-Jacobi equations of the form \(\lambda-{1\over2}\Delta\phi+H(x,D\phi)+\beta V=0\), in \(\mathbb R^N\), \(\phi(0)=0\), where \(\beta\) is a real parameter. It is assumed that \(H\) and \(V\) satisfy the following properties:NEWLINENEWLINE (H1) \(H\in C^2(\mathbb R^{2N})\), \(H(x,p)\geq H(x,0)=0\) for all \(x,p\in \mathbb R^N\); there exist some \(m>1\) and \(C>0\) such that for all \(x,p\in \mathbb R^{N}\), \(C^{-1}| p|^{m}-C\leq H(x,p)\), \(| D_{p} H(x,p)|\leq C(1+| p|^{m-1})\), \(| D_{x} H(x,p)|\leq C(1+| p|^{m})\); for any \(K>0\), there exist \(\kappa_1,\kappa_2>0\) such that for all \(x,\eta\in\mathbb R^{N}\) and \(| p|\leq K\), \(\kappa_1| \eta|^2\leq D_{p}^2 H(x,p)\eta\cdot\eta\leq\kappa_2|\eta|^2\).NEWLINENEWLINE NEWLINE(H2) \(V\in C^2(\mathbb R^{N})\), \(V\geq0\) in \(\mathbb R^{N}\), \(V\not\equiv 0\), \(\sup_{R^{N}}| DV|<\infty\), and \(V(x)\to0\) as \(| x|\to\infty\).NEWLINENEWLINENEWLINEThe author proves following results. There exists a real constant \(\lambda^{*}=\lambda^{*}(\beta)\) such that considered eigenvalue problem has a solution \(\phi\) if and only if \(\lambda\leq\lambda^{*}\); the mapping \(\beta\to\lambda^{*}(\beta)\) is non-positive, non-increasing, and concave; there exists a \(\beta_{c}\geq0\) such that \(\lambda^{*}(\beta)=0\) for \(\beta\leq\beta_{c}\) and \(\lambda^{*}<0\) for \(\beta>\beta_{c}\). It is also investigated the recurrence and transience of associated diffusion as well as the relationship between considered eigenvalue problem and corresponding stochastic control problem.