An eigenvalue approach to the risk sensitive control problem in near monotone case

DOI10.1016/j.sysconle.2010.12.002zbMath1210.49049OpenAlexW2017846655MaRDI QIDQ2430963

Anup Biswas

Publication date: 8 April 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.12.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnonlinear eigenvalue problemoptimal Markov controlcontrolled diffusionsrisk sensitive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Optimality conditions for problems involving randomness (49K45) Variational methods for eigenvalues of operators (49R05) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (17)

A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Risk sensitive control of diffusions with small running cost ⋮ Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control ⋮ Risk-sensitive control and an abstract Collatz-Wielandt formula ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$ ⋮ Zero-sum stochastic differential games with risk-sensitive cost ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$ ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Ergodic risk-sensitive control for regime-switching diffusions ⋮ Risk-sensitive control for a class of diffusions with jumps

Cites Work

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• Ergodic Control of Diffusion Processes
• The value function in ergodic control of diffusion processes with partial observations
• Risk-Sensitive Control on an Infinite Time Horizon
• Bellman Equations of Risk-Sensitive Control
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

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