A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$

dc.contributor.author	Arapostathis, Ari	en_US
dc.contributor.author	BISWAS, ANUP	en_US
dc.date.accessioned	2020-07-24T05:59:04Z
dc.date.available	2020-07-24T05:59:04Z
dc.date.issued	2020	en_US
dc.identifier.citation	SIAM Journal on Control and Optimization, 58(1), 85–103.	en_US
dc.identifier.issn	0363-0129	en_US
dc.identifier.issn	1095-7138	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/4892
dc.identifier.uri	https://doi.org/10.1137/18M1218704	en_US
dc.description.abstract	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.	en_US
dc.language.iso	en	en_US
dc.publisher	Society for Industrial and Applied Mathematics	en_US
dc.subject	Mathematics	en_US
dc.subject	TOC-JUL-2020	en_US
dc.subject	2020	en_US
dc.subject	2020-JUL-WEEK4	en_US
dc.title	A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	SIAM Journal on Control and Optimization	en_US
dc.publication.originofpublisher	Foreign	en_US