A variational formula for risk-sensitive control of diffusions in R^d
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Publication:5208746
Abstract: We address the variational problem for the generalized principal eigenvalue on 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.
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Cited in
(15)- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Generalized principal eigenvalues of convex nonlinear elliptic operators in \(\mathbb{R}^N\)
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk-sensitive control for a class of diffusions with jumps
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- A variational formula for risk-sensitive reward
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- Risk sensitive control of diffusions with small running cost
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- Ergodic risk sensitive control of Markovian multiclass many-server queues with abandonment
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