Nonlocal ergodic control problem in $\mathbb{R}^d$

Abstract: We study the existence-uniqueness of solution $(u, \lambda)$ to the ergodic Hamilton-Jacobi equation $$(-\Delta)^s u + H(x, \nabla u) = f-\lambda\quad \text{in}\; \mathbb{R}^d,$$ and $u\geq 0$, where $s\in (\frac{1}{2}, 1)$. We show that the critical $\lambda=\lambda^*$, defined as the infimum of all $\lambda$ attaining a non-negative supersolution, attains a nonnegative solution $u$. Under suitable conditions, it is also shown that $\lambda^*$ is the supremum of all $\lambda$ for which a non-positive subsolution is possible. Moreover, uniqueness of the solution $u$, corresponding to $\lambda^*$, is also established. Furthermore, we provide a probabilistic characterization that determines the uniqueness of the pair $(u, \lambda^*)$ in the class of all solution pair $(u, \lambda)$ with $u\geq 0$. Our proof technique involves both analytic and probabilistic methods in combination with a new local Lipschitz estimate obtained in this article.