Abstract
Under hypercontractivity and $L_p$-integrability of transition density for some $p>1$, we use the perturbation theory of linear operators to obtain existence of long time asymptotics of exponentials of unbounded additive functionals of Markov processes and establish the moderate deviation principle for the functionals. For stochastic differential equations with multiplicative noise, we show the hypercontractivity and the integrability based on Wang’s Harnack inequality. As an application of our general results, we obtain the existence of these asymptotics and the moderate deviation principle of additive functionals with quadratic growth for the stochastic differential equations with multiplicative noise under some explicit conditions on the coefficients and prove that these asymptotics solve the related ergodic Hamilton-Jacobi-Bellman equation with nonsmooth and quadratic growth cost in viscosity sense.
Citation
Fuqing Gao. "Long time asymptotics of unbounded additive functionals of Markov processes." Electron. J. Probab. 22 1 - 21, 2017. https://doi.org/10.1214/17-EJP104
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