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arXiv 1102.1110math.AP
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奇异遍历控制的本征值问题

The eigenvalue problem of singular ergodic control

Ryan Hynd

摘要:

我们考虑对R^n中的所有x,寻找一个实数λ和一个满足PDE max{λ-Δu -f,|Du| -1}=0的函数u的问题.这里f是一个凸的超线性函数。我们证明了存在唯一的λ * 使得当|x|趋于无穷大时,上述偏微分方程有满足u(x)/ |x| ->1的黏性解u.此外,我们还证明了与λ ^* 相关联的是一个凸解u^*,使得D^2u^* 一致有界,并给出了λ ^* 的两个极小极大公式。对于涉及f的奇异控制问题,λ ^* 具有作为最小长时间平均(“遍历”)代价的概率解释。

英文摘要:

We consider the problem of finding a real number lambda and a function u satisfying the PDE max{lambda -Δu -f,|Du|-1}=0, for all x in R^n. Here f is a convex, superlinear function. We prove that there is a unique lambda* such that the above PDE has a viscosity solution u satisfying u(x)/|x|->1 as |x| tends to infinity. Moreover, we show that associated to lambda^* is a convex solution u^* with D^2u^* uniformly bounded and give two min-max formulae for lambda^*. lambda^* has a probabilistic interpretation as being the least, long-time averaged ("ergodic") cost for a singular control problem involving f.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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