Biswas, Anup ; Borkar, Vivek S. (2010) On a controlled Eigenvalue problem Systems & Control Letters, 59 (11). pp. 734-735. ISSN 0167-6911
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Official URL: http://www.sciencedirect.com/science/article/pii/S...
Related URL: http://dx.doi.org/10.1016/j.sysconle.2010.08.009
Abstract
We consider the problem of minimizing the asymptotic exit rate of a diffusion from a bounded domain and derive the associated Hamilton-Jacobi-Bellman equation. This turns out to be a nonlinear eigenvalue problem. A verification theorem for optimal control is also provided.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Exit Rate; Controlled Diffusion; Nonlinear Eigenvalue Problem; Principal Eigenvalue; Hamilton-Jacobi-Bellman Equation; Optimal Markov Control |
| ID Code: | 81480 |
| Deposited On: | 07 Feb 2012 05:02 |
| Last Modified: | 07 Feb 2012 05:02 |
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