On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

DOI10.1214/009117905000000431zbMath1092.60030arXivmath/0602625MaRDI QIDQ2493181

Hidehiro Kaise, Shuenn-Jyi Sheu

Publication date: 12 June 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602625

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J60: Diffusion processes

Related Items

Criticality of viscous Hamilton-Jacobi equations and stochastic ergodic control, Large time asymptotic problems for optimal stochastic control with superlinear cost, Large deviations for multiscale diffusion via weak convergence methods, Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem, Large deviations and importance sampling for systems of slow-fast motion, Asymptotics of the probability minimizing a ``down-side risk, Ergodic type Bellman equations of first order with quadratic Hamiltonian, Asymptotics of robust utility maximization, Portfolios and risk premia for the long run, On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

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