Quasistationary distributions and ergodic control problems

DOI10.1016/J.SPA.2021.12.004MaRDI QIDQ2074986zbMATH OpenOpenAlexWikidataFDO

Authors Amarjit Budhiraja, Paul Dupuis, Pierre Nyquist, Guo-Jhen Wu

Publication date 11 February 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.00280

zbMATH Keywords

\(Q\)-processesdiffusion processDirichlet eigenvalue problemsergodic controlHamilton-Jacobi-Bellman equationquasistationary distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Optimal stochastic control (93E20)

Abstract: We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process $X$ relative to a bounded domain. The two problems are in some sense dual, with one defined in terms of the generator associated with $X$ and the other in terms of its adjoint. Besides proving wellposedness of the associated Hamilton-Jacobi-Bellman equations, we describe how they can be used to characterize important properties of the QSD. Of particular note is that the QSD itself can be identified, up to normalization, in terms of the cost potential of the control problem associated with the adjoint.

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Cites work

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Cited in

(2)

• On the link between infinite horizon control and quasi-stationary distributions
• Some properties of the principal Dirichlet eigenfunction in Lipschitz domains, via probabilistic couplings

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