A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$

Abstract

We address the variational formulation of the risk-sensitive reward problem for nondegenerate diffusions on Rd controlled through the drift. We establish a variational formula on the whole space and also show that the risk-sensitive value equals the generalized principal eigenvalue of the semilinear operator. This can be viewed as a controlled version of the variational formulas for principal eigenvalues of diffusion operators arising in large deviations. We also revisit the average risk-sensitive minimization problem, and by employing a gradient estimate developed in this paper, we extend earlier results to unbounded drifts and running costs.