Risk-sensitive control for a class of diffusions with jumps

DOI10.1214/21-AAP1758zbMATH Open1504.35206arXiv1910.05004OpenAlexW2979377760MaRDI QIDQ2108886FDOQ2108886

Authors: Anup Biswas, Ari Arapostathis 

Publication date: 20 December 2022

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

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.

Full work available at URL: https://arxiv.org/abs/1910.05004

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zbMATH Keywords

principal eigenvalueexit ratesstochastic representationsemilinear integro-differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonlinear eigenvalue problems and nonlinear spectral theory for PDEs (35P30) PDEs in connection with control and optimization (35Q93) Integro-partial differential equations (35R09) Stability problems for finite-dimensional Hamiltonian and Lagrangian systems (37J25)

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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
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• Risk sensitive control of diffusions with small running cost
• Title not available (Why is that?)
• A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)

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