The generalized principal eigenvalue for Hamilton–Jacobi–Bellman equations of ergodic type

Ichihara, Naoyuki

doi:10.1016/j.anihpc.2014.02.003

Ichihara, Naoyuki

Annales de l'I.H.P. Analyse non linéaire, Tome 32 (2015) no. 3, pp. 623-650.

Résumé

This paper is concerned with the generalized principal eigenvalue for Hamilton–Jacobi–Bellman (HJB) equations arising in a class of stochastic ergodic control. We give a necessary and sufficient condition so that the generalized principal eigenvalue of an HJB equation coincides with the optimal value of the corresponding ergodic control problem. We also investigate some qualitative properties of the generalized principal eigenvalue with respect to a perturbation of the potential function.

MR Zbl

DOI : 10.1016/j.anihpc.2014.02.003

Classification : 35Q93, 60J60, 93E20
Mots clés : Principal eigenvalue, Hamilton–Jacobi–Bellman equation, Ergodic control, Recurrence and transience

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     author = {Ichihara, Naoyuki},
     title = {The generalized principal eigenvalue for {Hamilton{\textendash}Jacobi{\textendash}Bellman} equations of ergodic type},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     pages = {623--650},
     publisher = {Elsevier},
     volume = {32},
     number = {3},
     year = {2015},
     doi = {10.1016/j.anihpc.2014.02.003},
     mrnumber = {3353703},
     zbl = {1322.35142},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.anihpc.2014.02.003/}
}

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Ichihara, Naoyuki. The generalized principal eigenvalue for Hamilton–Jacobi–Bellman equations of ergodic type. Annales de l'I.H.P. Analyse non linéaire, Tome 32 (2015) no. 3, pp. 623-650. doi : 10.1016/j.anihpc.2014.02.003. http://www.numdam.org/articles/10.1016/j.anihpc.2014.02.003/

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