Vanishing discount problem and the additive eigenvalues on changing domains
Son N. T. Tu

TL;DR
This paper investigates the asymptotic behavior of solutions and eigenvalues of state-constraint Hamilton--Jacobi equations on changing domains as a parameter approaches zero, revealing convergence, non-convergence, and asymptotic expansion results.
Contribution
It provides the first asymptotic expansion results for the additive eigenvalue in the vanishing discount problem on variable domains.
Findings
Convergence and non-convergence results in convex settings.
Asymptotic expansion of the eigenvalue c(λ) as λ→0+.
Use of duality and viscosity Mather measures as main tools.
Abstract
We study the asymptotic behavior, as , of the state-constraint Hamilton--Jacobi equation in and the corresponding additive eigenvalues, or ergodic constant in with state-constraint. Here, is a bounded domain of , are continuous functions such that is nonnegative and . We obtain both convergence and non-convergence results in the convex setting. Moreover, we provide a very first result on the asymptotic expansion of the additive eigenvalue as . The main tool we use is a duality representation of solution with viscosity…
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Taxonomy
TopicsStochastic processes and financial applications
