On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

DOI10.1214/009117905000000431zbMath1092.60030arXivmath/0602625MaRDI QIDQ2493181

Hidehiro Kaise, Shuenn-Jyi Sheu

Publication date: 12 June 2006

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602625

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

Related Items

Large deviations for some fast stochastic volatility models by viscosity methods, Liouville properties and critical value of fully nonlinear elliptic operators, Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control, Large time asymptotic problems for optimal stochastic control with superlinear cost, Large deviations for multiscale diffusion via weak convergence methods, Abstract, classic, and explicit turnpikes, Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem, Large deviations and importance sampling for systems of slow-fast motion, Asymptotics of the probability minimizing a ``down-side risk, H-J-B equations of optimal consumption-investment and verification theorems, Risk-sensitive asset management in a general diffusion factor model: risk-seeking case, Ergodic type Bellman equations of first order with quadratic Hamiltonian, Asymptotics of robust utility maximization, Portfolios and risk premia for the long run, On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lectures on diffusion problems and partial differential equations. Notes by Pl. Muthuramalingam, Tara R. Nanda
• Risk-sensitive dynamic asset management
• Optimal long term growth rate of expected utility of wealth
• The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems
• On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
• Linear and quasilinear elliptic equations
• Risk-Sensitive Control and an Optimal Investment Model
• Asymptotic evaluation of certain Markov process expectations for large time—III
• 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
• An introduction to the theory of large deviations