Discrete time risk sensitive control problem

DOI10.1016/j.sysconle.2024.105758zbMATH Open1545.93424MaRDI QIDQ6569386

Łukasz Stettner

Publication date: 9 July 2024

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

zbMATH Keywords

Bellman equationcontrolled Markov processlong run risk sensitive functional

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03)

Cites Work

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• Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

Related Items (1)

Blackwell optimality and policy stability for long-run risk-sensitive stochastic control

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