Risk sensitive control of diffusions with small running cost
DOI10.1007/S00245-010-9127-4zbMATH Open1232.93094OpenAlexW2127594788MaRDI QIDQ647494FDOQ647494
Authors: Anup Biswas 
Publication date: 23 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9127-4
Recommendations
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Risk-sensitive control for a class of diffusions with jumps
- Risk-sensitive control of reflected diffusion processes on orthrant
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Risk-sensitive ergodic control of reflected diffusion processes in orthant
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk-sensitive control with near monotone cost
- Risk-sensitive and robust escape control for degenerate diffusion processes
- Risk sensitive stochastic control and differential games
optimal controlrisk-sensitive controlminorization conditioncontrolled diffusionssmall risk condition
Multivariate distribution of statistics (62H10) Methods involving semicontinuity and convergence; relaxation (49J45) Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20)
Cites Work
- Markov chains and stochastic stability
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- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Risk-Sensitive Control on an Infinite Time Horizon
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- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Bellman Equations of Risk-Sensitive Control
- Title not available (Why is that?)
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- Remarks on risk-sensitive control problems
- Risk-sensitive portfolio optimization problems with fixed income securities
- Risk-sensitive control with near monotone cost
- Singular perturbations in risk-sensitive stochastic control
- Erratum to: Risk-sensitive control with near monotone cost
- Erratum to: Risk-sensitive control with near monotone cost
Cited In (20)
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk-sensitive control for a class of diffusions with jumps
- On the policy improvement algorithm for ergodic risk-sensitive control
- Nonzero-sum risk-sensitive stochastic differential games with discounted costs
- Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control
- Risk-Sensitive Control on an Infinite Time Horizon
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk-sensitive control of reflected diffusion processes on orthrant
- Zero-sum stochastic differential games with risk-sensitive cost
- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate
- Indefinite risk-sensitive control
- Zero-sum risk-sensitive stochastic differential games
- A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)
- Bounds for a risk-sensitive homing problem
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