Risk-sensitive control with near monotone cost

DOI10.1007/s00245-009-9096-7zbMath1214.93119OpenAlexW2009882056MaRDI QIDQ607556

Anup Biswas, Vivek S. Borkar, K. Suresh Kumar

Publication date: 22 November 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-009-9096-7

zbMATH Keywords

optimal controlHJB equationrisk-sensitive controlergodic gamenear monotonicitystationary Markov control

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Optimal stochastic control (93E20)

Related Items (17)

Zero-Sum Risk-Sensitive Stochastic Differential Games ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ An eigenvalue approach to the risk sensitive control problem in near monotone case ⋮ Risk-sensitive control of pure jump process on countable space with near monotone cost ⋮ Risk sensitive control of diffusions with small running cost ⋮ 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 ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Risk-sensitive control of continuous time Markov chains ⋮ Erratum to: Risk-sensitive control with near monotone cost ⋮ Zero-sum stochastic differential games with risk-sensitive cost ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain ⋮ Risk-sensitive control for a class of diffusions with jumps

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