A variational formula for risk-sensitive control of diffusions in R^d

DOI10.1137/18M1218704zbMATH Open1428.35246arXiv1810.01180MaRDI QIDQ5208746FDOQ5208746

Authors: Anup Biswas, Ari Arapostathis 

Publication date: 10 January 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: We address the variational problem for the generalized principal eigenvalue on $mathbb{R}^d$ of linear and semilinear elliptic operators associated with nondegenerate diffusions controlled through the drift. We establish the Collatz-Wielandt formula for potentials that vanish at infinity under minimal hypotheses, and also for general potentials under blanket geometric ergodicity assumptions. We also present associated results having the flavor of a refined maximum principle.

Full work available at URL: https://arxiv.org/abs/1810.01180

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zbMATH Keywords

principal eigenvalueCollatz-Wielandt formulaDonsker-Varadhan functionalmin-max formulasemilinear PDE(Agmon) ground state

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Estimates of eigenvalues in context of PDEs (35P15) Nonlinear eigenvalue problems and nonlinear spectral theory for PDEs (35P30) Optimal stochastic control (93E20)

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Cited In (14)

• Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
• Ergodic risk-sensitive control for regime-switching diffusions
• Risk-sensitive control for a class of diffusions with jumps
• On the policy improvement algorithm for ergodic risk-sensitive control
• Discrete time risk sensitive control problem
• Risk-sensitive average Markov decision processes in general spaces
• Generalized principal eigenvalues of convex nonlinear elliptic operators in \(\mathbb{R}^N\)
• A variational characterization of the optimal exit rate for controlled diffusions
• A variational formula for risk-sensitive reward
• Long-run risk-sensitive impulse control
• Risk-sensitive zero-sum stochastic differential game for jump-diffusions
• ``Controlled versions of the Collatz-Wielandt and Donsker-Varadhan formulae
• Risk sensitive control of diffusions with small running cost
• A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)

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