A variational characterization of the optimal exit rate for controlled diffusions
Probability
2020-03-17 v3 Optimization and Control
Abstract
The main result in this paper is a variational formula for the exit rate from a bounded domain for a diffusion process in terms of the stationary law of the diffusion constrained to remain in this domain forever. Related results on the geometric ergodicity of the controlled Q-process are also presented.
Cite
@article{arxiv.2002.05348,
title = {A variational characterization of the optimal exit rate for controlled diffusions},
author = {Ari Arapostathis and Vivek S. Borkar},
journal= {arXiv preprint arXiv:2002.05348},
year = {2020}
}
Comments
14 pages