On ergodic control problem for viscous Hamilton--Jacobi equations for weakly coupled elliptic systems

Abstract

In this article we study ergodic problems in the whole space $\mathbb{R}^N$ for weakly coupled systems of viscous Hamilton-Jacobi equations with coercive right-hand sides. The Hamiltonians are assumed to have a fairly general structure and the switching rates need not be constant. We prove the existence of a critical value $λ^*$ such that the ergodic eigenvalue problem has a solution for every $λ\leqλ^*$ and no solution for $λ>λ^*$. Moreover, the existence and uniqueness of non-negative solutions corresponding to the value $λ^*$ are also established. We also exhibit the implication of these results to the ergodic optimal control problems of controlled switching diffusions.