Risk-sensitive control of reflected diffusion processes on orthrant

zbMath1387.93186arXiv1701.01213MaRDI QIDQ4639421

Kumar Gauttam, Chandan Pal, K. Suresh Kumar

Publication date: 9 May 2018

Full work available at URL: https://arxiv.org/abs/1701.01213

zbMATH Keywords

risk sensitive controldiffusion in the orthrantdiscounted risk-sensitive control

Mathematics Subject Classification ID

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 ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

This page was built for publication: Risk-sensitive control of reflected diffusion processes on orthrant