Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
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Publication:1747784
DOI10.1016/J.SPA.2017.08.001zbMATH Open1390.35433arXiv1601.00258OpenAlexW2224989410WikidataQ60167469 ScholiaQ60167469MaRDI QIDQ1747784FDOQ1747784
Publication date: 27 April 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely near-monotonicity, and show that there always exists a solution to the risk-sensitive Hamilton-Jacobi-Bellman (HJB) equation, and that any minimizer in the Hamiltonian is optimal in the class of stationary Markov controls. Under the additional hypothesis that the coefficients of the diffusion are bounded, and satisfy a condition that limits (even though it still allows) transient behavior, we show that any minimizer in the Hamiltonian is optimal in the class of all admissible controls. In addition, we present a sufficient condition, under which the solution of the HJB is unique (up to a multiplicative constant), and establish the usual verification result. We also present some new results concerning the multiplicative Poisson equation for elliptic operators in .
Full work available at URL: https://arxiv.org/abs/1601.00258
Hamilton-Jacobi-Bellman equationnonlinear eigenvalue problemsrisk-sensitive controlcontrolled diffusionsmultiplicative Poisson equationmonotonicity of principal eigenvalue
PDEs with randomness, stochastic partial differential equations (35R60) Optimal stochastic control (93E20)
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