Equality of the ergodic control eigenvalues

Let uu^* be the convex, C1,1(Rn)C^{1,1}(\mathbb{R}^n) solution associated to the eigenvalue λ\lambda^*, and define

λ+:=infψsupDψ(x)<1{Δψ(x)+f(x)},\lambda_+:=\inf_{\psi}\sup_{|D\psi(x)|<1}\{\Delta\psi(x)+f(x)\},

where the infimum is over the relevant C2(Rn)C^2(\mathbb{R}^n) supersolutions with lim infxψ(x)/x1\liminf_{|x|\to\infty}\psi(x)/|x|\geq 1. Equality of the ergodic control eigenvalues. One should have

λ=λ+.\lambda^*=\lambda_+.

The paper proves λλ+\lambda^*\leq\lambda_+ and proves the reverse inequality if a suitable C2(Rn)C^2(\mathbb{R}^n) supersolution with eigenvalue λ\lambda^* exists. It conjectures that this additional existence assumption is unnecessary, motivated by the expected C2C^2 regularity of uu^* on the set where Du<1|Du^*|<1.

Sources & referencesView supporting material

Primary source

Ryan Hynd, “The eigenvalue problem of singular ergodic control”, arXiv:1102.1110 (2011).

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