On ergodic control problem for viscous Hamilton--Jacobi equations for weakly coupled elliptic systems

TL;DR

This paper investigates ergodic problems for weakly coupled viscous Hamilton-Jacobi systems in unbounded domains, establishing existence, uniqueness, and critical values, with implications for control theory.

Contribution

It proves the existence of a critical eigenvalue for coupled systems with general Hamiltonians and variable switching rates, extending previous results in ergodic control.

Findings

Existence of a critical eigenvalue $\\lambda^*$ for the system.

Uniqueness of non-negative solutions at the critical value.

Implications for ergodic optimal control of switching diffusions.

Abstract

In this article we study ergodic problems in the whole space $\mathbb{R}^N$ for weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and the switching rates need not be constant. We prove the existence of a critical value $\lambda^*$ such that the ergodic eigenvalue problem has a solution for every $\lambda\leq\lambda^*$ and no solution for $\lambda>\lambda^*$. Moreover, the existence and uniqueness of non-negative solutions corresponding to the value $\lambda^*$ are also established. We also exhibit the implication of these results to the ergodic optimal control problems of controlled switching diffusions.