A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$
DOI10.1137/18M1218704zbMath1428.35246arXiv1810.01180MaRDI QIDQ5208746
Anup Biswas, Aristotle Arapostathis
Publication date: 10 January 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.01180
principal eigenvalueCollatz-Wielandt formulaDonsker-Varadhan functionalmin-max formulasemilinear PDE(Agmon) ground state
Continuous-time Markov processes on general state spaces (60J25) Nonlinear eigenvalue problems and nonlinear spectral theory for PDEs (35P30) Estimates of eigenvalues in context of PDEs (35P15) Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)
Related Items (10)
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