Stochastic variational formulas for solutions to linear diffusion equations

DOI10.4171/RMI/794MaRDI QIDQ742887zbMATH OpenOpenAlexFDO

Authors Joseph G. Conlon, Mohar Guha

Publication date 19 September 2014

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3222532 (Why is no real title available?)
• Adjoint and compensated compactness methods for Hamilton-Jacobi PDE
• Convex viscosity solutions and state constraints
• Stochastic variational formula for fundamental solutions of parabolic PDE
• Two Approximations of Solutions of Hamilton-Jacobi Equations

Cited in

(7)

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• A variational approach to nonlinear and interacting diffusions
• Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term
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• A non-local problem for the Fokker-Planck equation related to the Becker-Döring model
• On large time behavior and selection principle for a diffusive Carr-Penrose model
• Stochastic variational formula for fundamental solutions of parabolic PDE

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