Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient

TL;DR

This paper investigates the long-term behavior of solutions to semi-linear equations with quadratic gradient growth, establishing convergence results applicable to control and finance models with general state spaces.

Contribution

It provides new convergence results for solutions of semi-linear equations with quadratic gradient growth in general state spaces, including degenerate cases.

Findings

Pointwise convergence of solutions and gradients.

Convergence of solutions to backward stochastic differential equations.

Applicable to risk-sensitive control and portfolio optimization.

Abstract

This paper studies the large time behavior of solutions to semi-linear Cauchy problems with quadratic nonlinearity in gradients. The Cauchy problem considered has a general state space and may degenerate on the boundary of the state space. Two types of large time behavior are obtained: i) pointwise convergence of the solution and its gradient; ii) convergence of solutions to associated backward stochastic differential equations. When the state space is R^d or the space of positive definite matrices, both types of convergence are obtained under growth conditions on model coefficients. These large time convergence results have direct applications in risk sensitive control and long term portfolio choice problems.