An eigenvalue approach to the risk sensitive control problem in near monotone case
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Publication:2430963
DOI10.1016/j.sysconle.2010.12.002zbMath1210.49049MaRDI QIDQ2430963
Publication date: 8 April 2011
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.12.002
Hamilton-Jacobi-Bellman equation; nonlinear eigenvalue problem; optimal Markov control; controlled diffusions; risk sensitive control
93E20: Optimal stochastic control
49J20: Existence theories for optimal control problems involving partial differential equations
49K45: Optimality conditions for problems involving randomness
49R05: Variational methods for eigenvalues of operators
49J55: Existence of optimal solutions to problems involving randomness
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