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Quasistationary distributions and ergodic control problems
Univ N Carolina, Dept Stat & Operat Res, Chapel Hill, NC 27599 USA..
Brown Univ, Div Appl Math, Providence, RI 02912 USA..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0001-8702-2293
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).ORCID iD: 0000-0003-0053-0485
2022 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 145, p. 143-164Article in journal (Refereed) Published
Abstract [en]

We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process X relative to a bounded domain. The two problems are in some sense dual, with one defined in terms of the generator associated with X and the other in terms of its adjoint. Besides proving wellposedness of the associated Hamilton-Jacobi- Bellman equations, we describe how they can be used to characterize important properties of the QSD. Of particular note is that the QSD itself can be identified, up to normalization, in terms of the cost potential of the control problem associated with the adjoint.

Place, publisher, year, edition, pages
Elsevier BV , 2022. Vol. 145, p. 143-164
Keywords [en]
Quasistationary distribution, Diffusion process, Ergodic control, Hamilton-Jacobi-Bellman equation, Q-processes, Dirichlet eigenvalue problems
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-312690DOI: 10.1016/j.spa.2021.12.004ISI: 000789706700006Scopus ID: 2-s2.0-85122007111OAI: oai:DiVA.org:kth-312690DiVA, id: diva2:1660474
Note

QC 20220524

Available from: 2022-05-24 Created: 2022-05-24 Last updated: 2022-06-25Bibliographically approved

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Nyquist, PierreWu, Guo-Jhen

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CiteExportLink to record
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