Ergodic risk-sensitive control for regime-switching diffusions
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Publication:2107637
DOI10.1016/J.SYSCONLE.2022.105399zbMATH Open1505.93281arXiv2207.07545OpenAlexW4309047018MaRDI QIDQ2107637FDOQ2107637
Publication date: 2 December 2022
Published in: Systems \& Control Letters (Search for Journal in Brave)
Abstract: In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and characterize the optimal stationary Markov controls via a suitable verification theorem. We also consider the near-monotone case and obtain the existence of principal eigenfunction and optimal stationary Markov controls.
Full work available at URL: https://arxiv.org/abs/2207.07545
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Eigenvalue problems (93B60) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)
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