Nonlocal ergodic control problem in \mathbb{R}^d

Abstract: We study the existence-uniqueness of solution

(u, l a m b d a)

to the ergodic Hamilton-Jacobi equation

(-Delta)^s u + H(x, abla u) = f-lambdaquad ext{in}; mathbb{R}^d,

and

u g e q 0

, where

s i n (f r a c 12, 1)

. We show that the critical

l a m b d a = l a m b d a^{*}

, defined as the infimum of all

l a m b d a

attaining a non-negative supersolution, attains a nonnegative solution

u

. Under suitable conditions, it is also shown that

l a m b d a^{*}

is the supremum of all

l a m b d a

for which a non-positive subsolution is possible. Moreover, uniqueness of the solution

u

, corresponding to

l a m b d a^{*}

, is also established. Furthermore, we provide a probabilistic characterization that determines the uniqueness of the pair

(u, l a m b d a^{*})

in the class of all solution pair

(u, l a m b d a)

with

u g e q 0

. Our proof technique involves both analytic and probabilistic methods in combination with a new local Lipschitz estimate obtained in this article.

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