Isoperimetric inequalities for an ergodic stochastic control problem

Abstract

In this paper we deal with blow-up solutions to an elliptic equation with a nonlinear gradient term. The problem under consideration can be seen as the ergodic limit of a stochastic control problem with state constraints. It is well known that it has a solution only when a parameter which appears in the equation assumes a particular value known as ergodic constant. For such a constant many properties similar to those of an eigenvalue hold true. We show that a Faber–Krahn inequality can be stated for the ergodic constant and that for the corresponding solution a comparison result in terms of the solution to a symmetrized problem can be proved.