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arXiv 1704.02571math.APmath.OCmath.PR
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$\mathbb{R}^d$中椭圆算子主特征值的严格单调性与风险敏感控制

Strict monotonicity of principal eigenvalues of elliptic operators in $\mathbb{R}^d$ and risk-sensitive control

Ari Arapostathis, Anup Biswas, Subhamay Saha

摘要:

本文研究了一类二阶椭圆型算子$\mathscr{L} = a^{ij}\partial_{x_i}\partial_{x_j} + b^{i}\partial_{x_i} + f$的$\mathbb{R}^d$上的本征值问题,该算子具有非退化扩散。我们表明,严格的单调性的主特征值的运营商就势函数$f$充分的遍历特性的相关的基态扩散,和唯一性的基态,我们提出了一个全面的研究的本征值问题从这个角度来看。这使我们能够扩展或加强各种结果在文献中的一类粘性的遍历型的光滑系数的Hamilton-Jacobi方程方程的可测的漂移和潜在的。此外,我们建立了等价的无穷维线性规划制定这些遍历控制问题的强对偶。我们还将这些结果应用到研究无限时域风险敏感控制问题的扩散,并建立最优马尔可夫控制的存在性,最优性结果的验证,以及受控主特征值相对于平稳马尔可夫控制的连续性。

英文摘要:

This paper studies the eigenvalue problem on $\mathbb{R}^d$ for a class of second order, elliptic operators of the form $\mathscr{L} = a^{ij}\partial_{x_i}\partial_{x_j} + b^{i}\partial_{x_i} + f$, associated with non-degenerate diffusions. We show that strict monotonicity of the principal eigenvalue of the operator with respect to the potential function $f$ fully characterizes the ergodic properties of the associated ground state diffusion, and the unicity of the ground state, and we present a comprehensive study of the eigenvalue problem from this point of view. This allows us to extend or strengthen various results in the literature for a class of viscous Hamilton-Jacobi equations of ergodic type with smooth coefficients to equations with measurable drift and potential. In addition, we establish the strong duality for the equivalent infinite dimensional linear programming formulation of these ergodic control problems. We also apply these results to the study of the infinite horizon risk-sensitive control problem for diffusions, and establish existence of optimal Markov controls, verification of optimality results, and the continuity of the controlled principal eigenvalue with respect to stationary Markov controls.

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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