Séminaire d'Analyse
Criticality of HJB equations and stochastic ergodic controlNaoyuki Ichihara
Thursday 26 February 2015 11:00 - Tours - Salle 1180 (Bât E2)
Résumé :
This talk is concerned with nonlinear additive eigenvalue problems (ergodic problem) for Hamilton-Jacobi-Bellman equations which appear in stochastic ergodic control. Certain qualitative properties of principal eigenvalues and associated eigenfunctions are studied. Such analysis plays a key role in studying the recurrence and transience of feedback diffusions for the corresponding stochastic control problems. The results can be regarded as a nonlinear extension of the criticality theory for Schrödinger operators with decaying potentials.
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