On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions
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Publication:2677701
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
diffusioninfinite-horizon risk-sensitive controlmultiplicative (relative) value iteration algorithmnear monotone
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