Risk-sensitive control of an ergodic diffusion over an infinite horizon

DOI10.1023/A:1011398800546zbMath1030.93052OpenAlexW38006979MaRDI QIDQ1600581

Łukasz Stettner, Giovanni B. Di Masi

Publication date: 16 June 2002

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011398800546

zbMATH Keywords

discretizationBellman equationstopping timediffusion processesergodic risk sensitive control

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions

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