Risk-sensitive control for a class of diffusions with jumps
From MaRDI portal
Publication:2108886
Abstract: We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We start with the controlled Dirichlet eigenvalue problem in smooth bounded domains, which also allows us to generalize current results in the literature on exit rate control problems. Then we consider the infinite horizon average risk-sensitive minimization problem and maximization problems on the whole domain. Under suitable hypotheses, we establish existence and uniqueness of a principal eigenfunction for the Hamilton-Jacobi-Bellman (HJB) operator on the whole space, and fully characterize stationary Markov optimal controls as the measurable selectors of this HJB equation.
Recommendations
- Ergodic risk-sensitive control for regime-switching diffusions
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- Risk sensitive control of pure jump processes on a general state space
- Risk sensitive control of diffusions with small running cost
Cites work
- scientific article; zbMATH DE number 3922508 (Why is no real title available?)
- scientific article; zbMATH DE number 3671437 (Why is no real title available?)
- scientific article; zbMATH DE number 48691 (Why is no real title available?)
- scientific article; zbMATH DE number 55826 (Why is no real title available?)
- scientific article; zbMATH DE number 1254182 (Why is no real title available?)
- scientific article; zbMATH DE number 1351867 (Why is no real title available?)
- scientific article; zbMATH DE number 2034522 (Why is no real title available?)
- scientific article; zbMATH DE number 1776586 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- A counterexample to a nonlinear version of the Kreĭn-Rutman theorem by R.\,Mahadevan
- A risk-sensitive maximum principle
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Aleksandrov-Bakelman-Pucci maximum principles for a class of uniformly elliptic and parabolic integro-PDE
- An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
- Asymptotic evaluation of certain Markov process expectations for large time—III
- Asymptotic evaluation of certain markov process expectations for large time, I
- Average optimality for risk-sensitive control with general state space
- Conditions for no breakdown and Bellman equations of risk-sensitive control
- Diffusion processes associated with L�vy generators
- Elliptic Partial Differential Equations of Second Order
- Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
- Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
- Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
- Existence, nonexistence and multiplicity results for nonlocal Dirichlet problems
- Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
- Exponential convergence to quasi-stationary distribution and \(Q\)-process
- Generalizations and properties of the principal eigenvalue of elliptic operators in unbounded domains
- Heavy-traffic limits for many-server queues with service interruptions
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Jump-diffusion risk-sensitive asset management I: Diffusion factor model
- Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
- Jump-diffusions with controlled jumps: Existence and numerical methods
- Minimizing Escape Probabilities: A large Deviations Approach
- On a controlled eigenvalue problem
- On the asymptotic estimates for exit probabilities and minimum exit rates of diffusion processes pertaining to a chain of distributed control systems
- On the convergence of diffusion processes conditioned to remain in a bounded region for large time to limiting positive recurrent diffusion processes
- On the principal eigenvalue of second-order elliptic differential operators
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- On viscosity solutions of fully nonlinear equations with measurable ingredients
- Principal eigenvalues and the Dirichlet problem for fully nonlinear elliptic operators
- Recurrence and transience of optimal feedback processes associated with Bellman equations of ergodic type
- Regularity results for stable-like operators
- Regularity theory for fully nonlinear integro-differential equations
- Remarks on risk-sensitive control problems
- Risk sensitive control of diffusions with small running cost
- Risk sensitive portfolio optimization in a jump diffusion model with regimes
- Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
- Risk-Sensitive and Robust Escape Criteria
- Risk-sensitive benchmarked asset management
- Risk-sensitive control and an optimal investment model.
- Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
- Risk-sensitive control of continuous time Markov chains
- Risk-sensitive control with near monotone cost
- Risk-sensitive dynamic asset management
- Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space
- Risk-sensitive linear/quadratic/gaussian control
- Some results on risk-sensitive control with full observation
- Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control
- The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
- Uniform polynomial rates of convergence for a class of Lévy-driven controlled SDEs arising in multiclass many-server queues
- Zero-sum stochastic differential games with risk-sensitive cost
- \(W^{2,p}\)- and \(W^{1,p}\)-estimates at the boundary for solutions of fully nonlinear, uniformly elliptic equations
Cited in
(8)- Generalized principal eigenvalues on \({\mathbb{R}}^d\) of second order elliptic operators with rough nonlocal kernels
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk sensitive control of pure jump processes on a general state space
- Risk-sensitive control of pure jump process on countable space with near monotone cost
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk sensitive control of diffusions with small running cost
- scientific article; zbMATH DE number 7112810 (Why is no real title available?)
- A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)
This page was built for publication: Risk-sensitive control for a class of diffusions with jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2108886)
