Quasistationary distributions and ergodic control problems

Amarjit Budhiraja, Paul Dupuis, Pierre Nyquist and Guo-Jhen Wu

Stochastic Processes and their Applications, 2022, vol. 145, issue C, 143-164

Abstract: We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process X relative to a bounded domain. The two problems are in some sense dual, with one defined in terms of the generator associated with X and the other in terms of its adjoint. Besides proving wellposedness of the associated Hamilton–Jacobi–Bellman equations, we describe how they can be used to characterize important properties of the QSD. Of particular note is that the QSD itself can be identified, up to normalization, in terms of the cost potential of the control problem associated with the adjoint.

Keywords: Quasistationary distribution; Diffusion process; Ergodic control; Hamilton–Jacobi–Bellman equation; Q-processes; Dirichlet eigenvalue problems (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2021.12.004

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