Risk-sensitive ergodic control of reflected diffusion processes in orthant
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Publication:2041018
DOI10.1007/s00245-019-09606-wzbMath1467.93336OpenAlexW2972051983MaRDI QIDQ2041018
Publication date: 15 July 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-019-09606-w
Hamilton-Jacobi-Bellman equationprincipal eigenvaluereflecting diffusion processesstationary controlrisk-sensitive criterion
Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (4)
A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Ergodic risk-sensitive control for regime-switching diffusions
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