Risk-sensitive ergodic control of reflected diffusion processes in orthant

DOI10.1007/S00245-019-09606-WzbMATH Open1467.93336OpenAlexW2972051983MaRDI QIDQ2041018FDOQ2041018

Authors: Somnath Pradhan 

Publication date: 15 July 2021

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

Full work available at URL: https://doi.org/10.1007/s00245-019-09606-w

Recommendations

• Risk-sensitive control of reflected diffusion processes on orthrant
• Risk-sensitive control of an ergodic diffusion over an infinite horizon
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
• Ergodic risk-sensitive control for regime-switching diffusions
• Ergodic control of reflected diffusions with jumps

zbMATH Keywords

Hamilton-Jacobi-Bellman equationprincipal eigenvaluereflecting diffusion processesstationary controlrisk-sensitive criterion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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Cited In (8)

• Risk-sensitive control of an ergodic diffusion over an infinite horizon
• Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
• Ergodic risk-sensitive control for regime-switching diffusions
• A nonzero-sum risk-sensitive stochastic differential game in the orthant
• Risk-sensitive control of reflected diffusion processes on orthrant
• Risk-sensitive zero-sum stochastic differential game for jump-diffusions
• Ergodic control of reflected diffusions with jumps
• Risk sensitive control of diffusions with small running cost

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