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

principal eigenvaluediscounted control problem

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3244852 (Why is no real title available?)
• 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
• On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
• On a stochastic representation for the principal eigenvalue of a second-order differential equation

Cited in

(11)

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

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