Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions

DOI10.1016/j.spa.2017.08.001zbMath1390.35433arXiv1601.00258OpenAlexW2224989410WikidataQ60167469 ScholiaQ60167469MaRDI QIDQ1747784

Anup Biswas, Aristotle Arapostathis

Publication date: 27 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.00258

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnonlinear eigenvalue problemsrisk-sensitive controlcontrolled diffusionsmultiplicative Poisson equationmonotonicity of principal eigenvalue

Mathematics Subject Classification ID

Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (25)

A nonzero-sum risk-sensitive stochastic differential game in the orthant ⋮ 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 ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control ⋮ Risk sensitive optimal stopping ⋮ Risk-sensitive ergodic control of reflected diffusion processes in orthant ⋮ 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 relative value iteration with a risk-sensitive criterion ⋮ A variational characterization of the optimal exit rate for controlled diffusions ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Certain Liouville properties of eigenfunctions of elliptic operators ⋮ 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 $\mathbb{R}^d$ ⋮ Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Ergodic risk-sensitive control for regime-switching diffusions ⋮ Risk-sensitive control for a class of diffusions with jumps

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