On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions

DOI10.1016/j.sysconle.2022.105413zbMath1505.93253OpenAlexW4310059587MaRDI QIDQ2677701

Hassan Hmedi, Guodong Pang, Aristotle Arapostathis

Publication date: 5 January 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2022.105413

zbMATH Keywords

diffusioninfinite-horizon risk-sensitive controlmultiplicative (relative) value iteration algorithmnear monotone

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03)

Cites Work

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