Coupling by reflection for controlled diffusion processes: Turnpike property and large time behavior of Hamilton–Jacobi–Bellman equations

Abstract

We investigate the long time behavior of weakly dissipative semilinear Hamilton–Jacobi–Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach based on a variant of coupling by reflection adapted to the study of controlled diffusion processes. We prove existence and uniqueness of solutions for the ergodic Hamilton–Jacobi–Bellman equation and different kind of quantitative exponential convergence results at the level of the value function, of the optimal controls and of the optimal processes. Moreover, we provide uniform in time gradient and Hessian estimates for the solutions of the HJB equation that are of independent interest.