Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations

DOI10.1214/22-AAP1927OpenAlexW4389342210MaRDI QIDQ6138919FDOQ6138919

Authors Giovanni Conforti 

Publication date 16 January 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.04009

zbMATH Keywords

Hamilton-Jacobi equationsstochastic controlturnpike propertycoupling by reflection

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic behavior of solutions to PDEs (35B40) Optimal stochastic control (93E20)

Abstract: We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach based on a variant of coupling by reflection adapted to the study of controlled diffusion processes. We prove existence and uniqueness of solutions for the ergodic Hamilton-Jacobi-Bellman equation and different kind of quantitative exponential convergence results at the level of the value function, of the optimal controls and of the optimal processes. Moreover, we provide uniform in time gradient and Hessian estimates for the solutions of the HJB equation that are of independent interest.

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Cited in

(2)

• Time-uniform log-Sobolev inequalities and applications to propagation of chaos
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