A Stochastic Analog of Aubry-Mather Theory

Diogo Aguiar Gomes

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A Stochastic Analog of Aubry-Mather Theory

Diogo Aguiar Gomes

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Abstract

In this paper we discuss a stochastic analog of Aubry-Mather theory in which a deterministic control problem is replaced by a controlled diffusion. We prove the existence of a minimizing measure (Mather measure) and discuss its main properties using viscosity solutions of Hamilton-Jacobi equations. Then we prove regularity estimates on viscosity solutions of Hamilton-Jacobi equation using the Mather measure. Finally we apply these results to prove asymptotic estimates on the trajectories of controlled diffusions and study the convergence of Mather measures as the rate of diffusion vanishes.

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Diogo Aguiar Gomes. 2001-04-24. A Stochastic Analog of Aubry-Mather Theory. https://arxiv.org/abs/math/0104230

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