Asymptotic for the principal eigenvalue and eigenfunction of a nearly first-order operator with large potential

DOI10.1214/aop/1023481117zbMath0901.60033OpenAlexW2074559652MaRDI QIDQ1381574

Wendell H. Fleming, Shuenn-Jyi Sheu

Publication date: 18 March 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1023481117

zbMATH Keywords

stochastic differential equationBrownian motionprincipal eigenvaluerisk-sensitive control

Mathematics Subject Classification ID

(H^infty)-control (93B36) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (10)

Spectral theory and limit theorems for geometrically ergodic Markov processes ⋮ Risk-sensitive control and an optimal investment model. II. ⋮ Elliptic eigenvalue problems with large drift and applications to nonlinear propagation phenomena ⋮ Ergodic type Bellman equations of first order with quadratic Hamiltonian ⋮ Phase transitions and metastability in Markovian and molecular systems ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Nonequilibrium Markov processes conditioned on large deviations ⋮ Optimal control of molecular dynamics using Markov state models ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Variational approach to rare event simulation using least-squares regression

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