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The expansion of the criticality theory for stochastic optimal control and its applications

Research Project

Project/Area Number 15K04935
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Basic analysis
Research InstitutionAoyama Gakuin University

Principal Investigator

ICHIHARA Naoyuki  青山学院大学, 理工学部, 准教授 (70452563)

Project Period (FY) 2015-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Keywords確率最適制御 / 粘性Hamilton-Jacobi方程式 / エルゴード問題
Outline of Final Research Achievements

In this research, we studied the criticality theory for a class of nonlinear partial differential equations, called viscous Hamilton-Jacobi equations, by using both probabilistic and PDE theoretic methods. More specifically, we clarified the relationship between “phase transition” phenomena arising in stochastic optimal control and the generalized principal eigenvalue for viscous Hamilton-Jacobi equations. We especially quantified such phase transitions in terms of the space dimensions as well as the intensity of nonlinearity of the equation.

Report

(4 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (14 results)

All 2018 2017 2016 2015 Other

All Journal Article (2 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 2 results,  Acknowledgement Compliant: 2 results) Presentation (9 results) (of which Int'l Joint Research: 2 results,  Invited: 4 results) Remarks (3 results)

  • [Journal Article] Qualitative properties of generalized principal eigenvalues for superquadratic viscous Hamilton-Jacobi equations2016

    • Author(s)
      E. Chasseigne and N. Ichihara
    • Journal Title

      Nonlinear Differential Equations Appl. NoDEA

      Volume: 23 Issue: 6

    • DOI

      10.1007/s00030-016-0422-x

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Phase transitions for controlled Markov chains on infinite graphs2016

    • Author(s)
      Naoyuki Ichihara
    • Journal Title

      SIAM J. Control Optim.

      Volume: 54 Issue: 2 Pages: 450-474

    • DOI

      10.1137/140998202

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] Ergodic problems for viscous Hamilton-Jacobi equations with inward drift2018

    • Author(s)
      市原直幸
    • Organizer
      新潟確率論ワークショップ
    • Related Report
      2017 Annual Research Report
  • [Presentation] Ergodic problems for viscous Hamilton-Jacobi equations with inward drift2018

    • Author(s)
      市原直幸
    • Organizer
      研究集会「マルコフ過程とその周辺」
    • Related Report
      2017 Annual Research Report
  • [Presentation] Criticality theory for stochastic optimal control2017

    • Author(s)
      市原直幸
    • Organizer
      岡山-広島解析・確率論セミナー
    • Place of Presentation
      岡山大学
    • Year and Date
      2017-02-21
    • Related Report
      2016 Research-status Report
  • [Presentation] Qualitative properties of generalized principal eigenvalues for viscous Hamilton-Jacobi equations2017

    • Author(s)
      Naoyuki Ichihara
    • Organizer
      Nonlinear PDE for Future Applications --Optimal Control and PDE--
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 確率最適制御と偏微分方程式2017

    • Author(s)
      市原直幸
    • Organizer
      東北大学理学部数学科談話会
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Generalized principal eigenvalues for superquadratic viscous Hamilton-Jacobi equations2016

    • Author(s)
      Naoyuki Ichihara
    • Organizer
      2016 Workshop on Stochastic Control and Financial Applications
    • Place of Presentation
      Hong Kong Polytechnic University (Hong Kong)
    • Year and Date
      2016-08-16
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] The generalized principal eigenvalue for viscous Hamilton-Jacobi equations with superquadratic Hamiltonians2015

    • Author(s)
      Naoyuki Ichihara
    • Organizer
      Asymptotic problems for partial differential equations and viscosity solutions
    • Place of Presentation
      京都大学数理解析研究所
    • Year and Date
      2015-12-03
    • Related Report
      2015 Research-status Report
    • Invited
  • [Presentation] 粘性Hamilton-Jacobi方程式の一般化主固有値と確率最適制御2015

    • Author(s)
      市原直幸
    • Organizer
      京都大学数学教室談話会
    • Place of Presentation
      京都大学
    • Year and Date
      2015-10-14
    • Related Report
      2015 Research-status Report
  • [Presentation] Phase transitions arising in some stochastic optimal control problems2015

    • Author(s)
      市原直幸
    • Organizer
      東京確率論セミナー
    • Place of Presentation
      東京大学
    • Year and Date
      2015-05-11
    • Related Report
      2015 Research-status Report
  • [Remarks] 個人webサイト

    • URL

      https://sites.google.com/site/naoyukiichihara/home

    • Related Report
      2017 Annual Research Report
  • [Remarks] 市原直幸のページ

    • URL

      https://sites.google.com/site/naoyukiichihara/home

    • Related Report
      2016 Research-status Report
  • [Remarks] 個人ウェブサイト

    • URL

      https://sites.google.com/site/naoyukiichihara/

    • Related Report
      2015 Research-status Report

URL: 

Published: 2015-04-16   Modified: 2019-03-29  

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