Stochastic variational formulas for solutions to linear diffusion equations

DOI10.4171/RMI/794zbMATH Open1309.60072arXiv0912.0185OpenAlexW2962712899MaRDI QIDQ742887FDOQ742887

Authors: Joseph G. Conlon, Mohar Guha 

Publication date: 19 September 2014

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Abstract: This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the diffusion equation, with terminal data which is the characteristic function of a set. In this case the terminal data for the control problem is singular, and hence standard theory does not apply. The variational formula is used to prove convergence in the zero noise limit of the cost function for the stochastic control problem and its first derivatives, to the corresponding quantities for a classical control problem.

Full work available at URL: https://arxiv.org/abs/0912.0185

Recommendations

• scientific article; zbMATH DE number 2001297
• Stochastic variational formula for fundamental solutions of parabolic PDE
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• Control of diffusion processes in \(\mathbb R^N\)
• Boundedness of a derived function of a solution of a class of diffusion variational equations

zbMATH Keywords

stochastic controlprobabilistic representationlinear diffusion equationsHamilton-Jacobi partial differential equationslarge deviation result

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Reaction-diffusion equations (35K57) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Adjoint and compensated compactness methods for Hamilton-Jacobi PDE
• Convex viscosity solutions and state constraints
• Two Approximations of Solutions of Hamilton-Jacobi Equations
• Stochastic variational formula for fundamental solutions of parabolic PDE
• Title not available (Why is that?)

Cited In (7)

• Title not available (Why is that?)
• On large time behavior and selection principle for a diffusive Carr-Penrose model
• A variational approach to nonlinear and interacting diffusions
• Boundedness of a derived function of a solution of a class of diffusion variational equations
• A non-local problem for the Fokker-Planck equation related to the Becker-Döring model
• Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term
• Stochastic variational formula for fundamental solutions of parabolic PDE

This page was built for publication: Stochastic variational formulas for solutions to linear diffusion equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q742887)