Strict monotonicity of principal eigenvalues of elliptic operators in R^d and risk-sensitive control

DOI10.1016/J.MATPUR.2018.05.008zbMATH Open1423.35267arXiv1704.02571OpenAlexW2605994165MaRDI QIDQ1732995FDOQ1732995

Subhamay Saha, Anup Biswas, Ari Arapostathis

Publication date: 26 March 2019

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Abstract: This paper studies the eigenvalue problem on $mathbb{R}^d$ for a class of second order, elliptic operators of the form $mathscrL=a^{ij}partia{l}_{x_i}partia{l}_{x_j}+b^{i}partia{l}_{x_i}+f$, associated with non-degenerate diffusions. We show that strict monotonicity of the principal eigenvalue of the operator with respect to the potential function $f$ fully characterizes the ergodic properties of the associated ground state diffusion, and the unicity of the ground state, and we present a comprehensive study of the eigenvalue problem from this point of view. This allows us to extend or strengthen various results in the literature for a class of viscous Hamilton-Jacobi equations of ergodic type with smooth coefficients to equations with measurable drift and potential. In addition, we establish the strong duality for the equivalent infinite dimensional linear programming formulation of these ergodic control problems. We also apply these results to the study of the infinite horizon risk-sensitive control problem for diffusions, and establish existence of optimal Markov controls, verification of optimality results, and the continuity of the controlled principal eigenvalue with respect to stationary Markov controls.

Full work available at URL: https://arxiv.org/abs/1704.02571

zbMATH Keywords

ergodic controlrisk-sensitive controlrecurrence and transienceviscous Hamilton-Jacobi equationsgeneralized principal eigenvaluesemi-linear eigenvalue problems

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic behavior of solutions to PDEs (35B40) Estimates of eigenvalues in context of PDEs (35P15) PDEs in connection with control and optimization (35Q93) Optimal stochastic control (93E20)

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