Stochastic control and principal eigenvaluet†

DOI10.1080/17442508308833285MaRDI QIDQ3320263zbMATH OpenOpenAlexFDO

Authors 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

discounted control problemprincipal eigenvalue

Mathematics Subject Classification ID

(Generalized) eigenfunction expansions of linear operators; rigged Hilbert spaces (47A70) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Cites work

• A minimum principle for the principal eigenvalue for second-order linear elliptic equations with natural boundary conditions
• A new energy characterization of the smallest eigenvalue of the schrödinger equation
• Differentiability preserving properties of markov semigroups associated with one-dimensional diffusions
• scientific article; zbMATH DE number 3244852 (Why is no real title available?)
• 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

Cited in

(11)

• Asymptotic for the principal eigenvalue and eigenfunction of a nearly first-order operator with large potential
• Principal eigenvalue characterization connected with stochastic particle motion in a finite interval
• Global algorithms for maximal eigenpair
• Variational and optimal control representations of conditioned and driven processes
• Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds
• On principal eigenvalues for random evolutions
• A remark on the large deviations of an ergodic markov process
• A variation on the Donsker-Varadhan inequality for the principal eigenvalue
• Nonequilibrium Markov processes conditioned on large deviations
• Perron-Frobenius, principal eigenvalue, maximum principle: a personal itinerary
• A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)

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