A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$
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Publication:5855517
DOI10.1137/20M1329202zbMath1457.60122arXiv1903.08346OpenAlexW2923832115MaRDI QIDQ5855517
Vivek S. Borkar, Anup Biswas, K. Suresh Kumar, Aristotle Arapostathis
Publication date: 18 March 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.08346
Continuous-time Markov processes on general state spaces (60J25) Estimates of eigenvalues in context of PDEs (35P15) Diffusion processes (60J60) Large deviations (60F10) Quasilinear parabolic equations (35K59)
Related Items (11)
A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes ⋮ A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$ ⋮ On the relative value iteration with a risk-sensitive criterion ⋮ A variational characterization of the optimal exit rate for controlled diffusions ⋮ Generalized principal eigenvalues of convex nonlinear elliptic operators in \(\mathbb{R}^N\) ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ “Controlled” Versions of the Collatz–Wielandt and Donsker–Varadhan Formulae ⋮ Generalized principal eigenvalues on \({\mathbb{R}}^d\) of second order elliptic operators with rough nonlocal kernels ⋮ Ergodic risk-sensitive control for regime-switching diffusions
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