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, A remark on the large deviations of an ergodic markov process

Cites Work

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• 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