Risk sensitive control of diffusions with small running cost
From MaRDI portal
Publication:647494
DOI10.1007/s00245-010-9127-4zbMath1232.93094OpenAlexW2127594788MaRDI QIDQ647494
Publication date: 23 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9127-4
optimal controlrisk-sensitive controlcontrolled diffusionsminorization conditionsmall risk condition
Multivariate distribution of statistics (62H10) Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45)
Related Items
Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space, Zero-Sum Risk-Sensitive Stochastic Differential Games, Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach, An eigenvalue approach to the risk sensitive control problem in near monotone case, Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control, Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions, 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, Nonzero-sum risk-sensitive stochastic differential games with discounted costs, On the policy improvement algorithm for ergodic risk-sensitive control, Ergodic risk-sensitive control for regime-switching diffusions, Risk-sensitive control for a class of diffusions with jumps
Cites Work
- Unnamed Item
- Risk-sensitive control with near monotone cost
- Markov chains and stochastic stability
- Remarks on risk-sensitive control problems
- Risk-sensitive portfolio optimization problems with fixed income securities
- Infinite horizon risk sensitive control of discrete time Markov processes with small risk
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Singular Perturbations in Risk-Sensitive Stochastic Control
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- 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
- Erratum to: Risk-sensitive control with near monotone cost
- Erratum to: Risk-sensitive control with near monotone cost
