scientific article; zbMATH DE number 1384306

zbMath0933.93075MaRDI QIDQ4719568

Hidehiro Kaise, Hideo Nagai

Publication date: 3 March 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

singular limitsrisk sensitive controlergodic Bellman equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (7)

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Ergodic type Bellman equations of first order with quadratic Hamiltonian ⋮ Downside risk minimization via a large deviations approach ⋮ Variance-optimal martingale measures for diffusion processes with stochastic coefficients ⋮ On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control ⋮ Local Poisson equations associated with the Varadhan functional ⋮ H-J-B equations of optimal consumption-investment and verification theorems

This page was built for publication: