Title of article
On a controlled eigenvalue problem
Author/Authors
Biswas، نويسنده , , Anup and Borkar، نويسنده , , Vivek S.، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2010
Pages
2
From page
734
To page
735
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.
Keywords
Exit rate , controlled diffusion , nonlinear eigenvalue problem , Hamilton–Jacobi–Bellman equation , Principal eigenvalue , Optimal Markov control
Journal title
Systems and Control Letters
Serial Year
2010
Journal title
Systems and Control Letters
Record number
1675595
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