Risk-sensitive control and an abstract Collatz-Wielandt formula

DOI10.1007/s10959-015-0616-xzbMath1360.60149arXiv1312.5834OpenAlexW2169706572WikidataQ60167474 ScholiaQ60167474MaRDI QIDQ501823

Vivek S. Borkar, K. Suresh Kumar, Aristotle Arapostathis

Publication date: 10 January 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5834

zbMATH Keywords

variational formulationprincipal eigenvaluecontrolled diffusionrisk-sensitive controlCollatz-Wielandt formulaDonsker-Varadhan functionalNisio semigroup

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Large deviations (60F10)

Related Items (13)

A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ Global algorithms for maximal eigenpair ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ A counterexample to a nonlinear version of the Kreĭn-Rutman theorem by R.\,Mahadevan ⋮ A Variational Formula for Risk-Sensitive Reward ⋮ A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$ ⋮ Principal eigenvalues of a class of nonlinear integro-differential operators ⋮ On the relative value iteration with a risk-sensitive criterion ⋮ A variational characterization of the optimal exit rate for controlled diffusions ⋮ Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant ⋮ A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$ ⋮ “Controlled” Versions of the Collatz–Wielandt and Donsker–Varadhan Formulae ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

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