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A variational formula for risk-sensitive control of diffusions in $\mathbb{R}^d$ by Arapostathis, Ari; Biswas, Anup is a scholarly article available to read on EtoBox.

What is A variational formula for risk-sensitive control of diffusions in $\mathbb{R}^d$ about?

We address the variational problem for the generalized principal eigenvalue on $\mathbb{R}^d$ of linear and semilinear elliptic operators associated with nondegenerate diffusions controlled through the drift. We establish the Collatz-Wielandt formula for potentials that vanish at infinity under minimal hypotheses, and also for general potentials under blanket geometric ergodicity assumptions. We also present associated results having the flavor of a refined maximum principle.

Author

Arapostathis, Ari; Biswas, Anup

Published

2018

Language

EN